线性移人——生灭过程及其统计推断

doi:10.13371/j.cnki.chin.q.j.m.2014.03.005

数学季刊 ›› 2014, Vol. 29 ›› Issue (3): 356-362.doi: 10.13371/j.cnki.chin.q.j.m.2014.03.005

线性移人——生灭过程及其统计推断

1. School of Statistics, Southwestern University of Finance and Economics2. College of Mathematics and Computational Science, University of Shenzhen3. Department of Fixed Income GF Securities, Company Limited

收稿日期:2012-01-25 出版日期:2014-09-30 发布日期:2020-11-30
作者简介:ZHANG Shu-lin(1976-), male, native of Chengdu, Sichuan, a lecturer of Southwestern University of Finance and Economics University, Ph.D., engages in statistics; WEI Zheng-hong(1964-), female, native of Shenzhen, Guangdong, a professor of University of Shenzhen, Ph,D., engages in statistics; BI Qiu-xiang(1964-), female, native of Guangzhou, Guangdong, a manager of GF Securities, Company Limited, Ph,D., engages in statistics.
基金资助:
Supported by the Fundamental Research Funds for the Central Universities(JBK120405)；

A Linear Immigration-Birth-Death Model and Its Statistical Inference

1. School of Statistics, Southwestern University of Finance and Economics2. College of Mathematics and Computational Science, University of Shenzhen3. Department of Fixed Income GF Securities, Company Limited

Received:2012-01-25 Online:2014-09-30 Published:2020-11-30
About author:ZHANG Shu-lin(1976-), male, native of Chengdu, Sichuan, a lecturer of Southwestern University of Finance and Economics University, Ph.D., engages in statistics; WEI Zheng-hong(1964-), female, native of Shenzhen, Guangdong, a professor of University of Shenzhen, Ph,D., engages in statistics; BI Qiu-xiang(1964-), female, native of Guangzhou, Guangdong, a manager of GF Securities, Company Limited, Ph,D., engages in statistics.
Supported by:
Supported by the Fundamental Research Funds for the Central Universities(JBK120405)；

摘要/Abstract

摘要： In this paper, we employ moment generating function to obtain some exact formula of transition probability of immigration-birth-death（IBD） model and discuss the simulation of sample path and statistical inference with complete observations of the IBD process by the exact transition density formula.

关键词: immigration-birth-death process, transition density, moment generating function, maximum likelihood estimator

Abstract: In this paper, we employ moment generating function to obtain some exact formula of transition probability of immigration-birth-death（IBD） model and discuss the simulation of sample path and statistical inference with complete observations of the IBD process by the exact transition density formula.

Key words: immigration-birth-death process, transition density, moment generating function, maximum likelihood estimator

中图分类号:

O212.1

张术林, 魏正红, 毕秋香. 线性移人——生灭过程及其统计推断[J]. 数学季刊, 2014, 29(3): 356-362.

ZHANG Shu-lin, WEI Zheng-hong, BI Qiu-xiang. A Linear Immigration-Birth-Death Model and Its Statistical Inference[J]. Chinese Quarterly Journal of Mathematics, 2014, 29(3): 356-362.

线性移人——生灭过程及其统计推断

A Linear Immigration-Birth-Death Model and Its Statistical Inference

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