Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1156388 | Stochastic Processes and their Applications | 2008 | 17 Pages |
It is known that in the critical case the conditional least squares estimator (CLSE) of the offspring mean of a discrete time branching process with immigration is not asymptotically normal. If the offspring variance tends to zero, it is normal with normalization factor n2/3n2/3. We study a situation of its asymptotic normality in the case of non-degenerate offspring distribution for the process with time-dependent immigration, whose mean and variance vary regularly with non-negative exponents αα and ββ, respectively. We prove that if β<1+2αβ<1+2α, the CLSE is asymptotically normal with two different normalization factors and if β>1+2αβ>1+2α, its limit distribution is not normal but can be expressed in terms of the distribution of certain functionals of the time-changed Wiener process. When β=1+2αβ=1+2α the limit distribution depends on the behavior of the slowly varying parts of the mean and variance.