Nonparametric density estimation in compound Poisson processes using convolution power estimators
نویسندگان
چکیده
منابع مشابه
Nonparametric Density Estimation in Compound Poisson Process Using Convolution Power Estimators
Consider a compound Poisson process which is discretely observed with sampling interval ∆ until exactly n nonzero increments are obtained. The jump density and the intensity of the Poisson process are unknown. In this paper, we build and study parametric estimators of appropriate functions of the intensity, and an adaptive nonparametric estimator of the jump size density. The latter estimation ...
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ژورنال
عنوان ژورنال: Metrika
سال: 2013
ISSN: 0026-1335,1435-926X
DOI: 10.1007/s00184-013-0475-3