Asymptotic behavior of maximum likelihood estimators in a branching diffusion model

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.

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Maximum Likelihood Estimators for a Supercritical Branching Diffusion Process

Olivares

Hernández

2012

International Journal of Mathematics and Mathematical Sciences

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Asymptotic behavior of maximum likelihood estimators in a branching diffusion model

Abstract: Branching diffusion, Fisher information, Maximum likelihood estimators, Semimartingales, Ito’s formula, 60J60, 60J80, 62M30,

Cited by 1 publication

References 14 publications

Maximum Likelihood Estimators for a Supercritical Branching Diffusion Process

Maximum Likelihood Estimators for a Supercritical Branching Diffusion Process

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