Maximum Likelihood Estimators for a Supercritical Branching Diffusion Process
Joint Authors
Olivares, Pablo
Hernandez, Janko
Source
International Journal of Mathematics and Mathematical Sciences
Issue
Vol. 2012, Issue 2012 (31 Dec. 2012), pp.1-20, 20 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2012-11-20
Country of Publication
Egypt
No. of Pages
20
Main Subjects
Abstract EN
The log-likelihood of a nonhomogeneous Branching Diffusion Process under several conditions assuring existence and uniqueness of the diffusion part and nonexplosion of the branching process.
Expressions for different Fisher information measures are provided.
Using the semimartingale structure of the process and its local characteristics, a Girsanov-type result is applied.
Finally, an Ornstein-Uhlenbeck process with finite reproduction mean is studied.
Simulation results are discussed showing consistency and asymptotic normality.
American Psychological Association (APA)
Olivares, Pablo& Hernandez, Janko. 2012. Maximum Likelihood Estimators for a Supercritical Branching Diffusion Process. International Journal of Mathematics and Mathematical Sciences،Vol. 2012, no. 2012, pp.1-20.
https://search.emarefa.net/detail/BIM-477778
Modern Language Association (MLA)
Olivares, Pablo& Hernandez, Janko. Maximum Likelihood Estimators for a Supercritical Branching Diffusion Process. International Journal of Mathematics and Mathematical Sciences No. 2012 (2012), pp.1-20.
https://search.emarefa.net/detail/BIM-477778
American Medical Association (AMA)
Olivares, Pablo& Hernandez, Janko. Maximum Likelihood Estimators for a Supercritical Branching Diffusion Process. International Journal of Mathematics and Mathematical Sciences. 2012. Vol. 2012, no. 2012, pp.1-20.
https://search.emarefa.net/detail/BIM-477778
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-477778
