Nonparametric density estimation in compound Poisson processes using convolution power estimators

DOI10.1007/s00184-013-0475-3zbMath1282.62088OpenAlexW2064282775MaRDI QIDQ2441318

Valentine Genon-Catalot, Céline Duval, Fabienne Comte

Publication date: 24 March 2014

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00184-013-0475-3

zbMATH Keywords

parameter estimationinverse problemsconvolutionsnonparametric estimation

Mathematics Subject Classification ID

Related Items (9)

Detecting and estimating intensity of jumps for discretely observed \(\mathrm{ARMA}D(1,1)\) processes ⋮ Estimation of the Jump Size Density in a Mixed Compound Poisson Process ⋮ Nonparametric Bayesian inference for multidimensional compound Poisson processes ⋮ Nonparametric estimation for compound Poisson process via variational analysis on measures ⋮ Minimax rates for the covariance estimation of multi-dimensional Lévy processes with high-frequency data ⋮ Statistical Inference for Renewal Processes ⋮ A non-parametric Bayesian approach to decompounding from high frequency data ⋮ Efficient nonparametric inference for discretely observed compound Poisson processes ⋮ Adaptive procedure for Fourier estimators: application to deconvolution and decompounding

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