Chinese Quarterly Journal of Mathematics ›› 2014, Vol. 29 ›› Issue (3): 356-362.doi: 10.13371/j.cnki.chin.q.j.m.2014.03.005

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

  

  1. 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);

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

CLC Number: