Maximum likelihood estimators for a supercritical branching diffusion process (Q1925558)
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scientific article; zbMATH DE number 6116543
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| English | Maximum likelihood estimators for a supercritical branching diffusion process |
scientific article; zbMATH DE number 6116543 |
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Maximum likelihood estimators for a supercritical branching diffusion process (English)
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18 December 2012
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Summary: The paper investigates the log-likelihood of a nonhomogeneous branching diffusion process under several conditions assuring existence and uniqueness of the diffusion part and non-explosion of the branching process is given. 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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