Central limit analogues for Markov population processes

Donald R. McNeil; Siegfried Schach

Central limit analogues for Markov population processes

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Abstract

It is shown in this paper that several birth-death-type models (univariate as well as multivariate) can be approximated by Ornstein-Uhlenbeck processes as certain parameters become large. Such approximations are valuable whenever the Kolmogorov differential equation cannot be solved in closed form.

Original language	English
Pages (from-to)	1-23
Number of pages	23
Journal	Journal of the Royal Statistical Society. Series B: Statistical Methodology
Volume	35
Issue number	1
Publication status	Published - 1973
Externally published	Yes

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title = "Central limit analogues for Markov population processes",

abstract = "It is shown in this paper that several birth-death-type models (univariate as well as multivariate) can be approximated by Ornstein-Uhlenbeck processes as certain parameters become large. Such approximations are valuable whenever the Kolmogorov differential equation cannot be solved in closed form.",

author = "McNeil, \{Donald R.\} and Siegfried Schach",

year = "1973",

language = "English",

volume = "35",

pages = "1--23",

journal = "Journal of the Royal Statistical Society. Series B: Statistical Methodology",

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publisher = "Oxford University Press",

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AU - McNeil, Donald R.

AU - Schach, Siegfried

PY - 1973

Y1 - 1973

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AB - It is shown in this paper that several birth-death-type models (univariate as well as multivariate) can be approximated by Ornstein-Uhlenbeck processes as certain parameters become large. Such approximations are valuable whenever the Kolmogorov differential equation cannot be solved in closed form.

M3 - Article

SN - 1369-7412

VL - 35

SP - 1

EP - 23

JO - Journal of the Royal Statistical Society. Series B: Statistical Methodology

JF - Journal of the Royal Statistical Society. Series B: Statistical Methodology

IS - 1

ER -

Central limit analogues for Markov population processes

Abstract

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