Decompounding Poisson random sums: recursively truncated estimates in the discrete case

DOI10.1007/BF02506487zbMath1078.62020MaRDI QIDQ2581125

Rudolf Grübel, Boris Buchmann

Publication date: 13 January 2006

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

likelihood; consistency; discrete distributions; limit distributions; plug-in principle; compound distributions; horse kick data

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62M09: Non-Markovian processes: estimation

62F10: Point estimation

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Nonparametric Bayesian inference for multidimensional compound Poisson processes, Maxentropic approach to decompound aggregate risk losses, Efficient nonparametric inference for discretely observed compound Poisson processes, Decompounding random sums: a nonparametric approach, Inference for the limiting cluster size distribution of extreme values, Nonparametric estimation for compound Poisson process via variational analysis on measures, A non-parametric Bayesian approach to decompounding from high frequency data, Statistical inference across time scales, Asymptotic distributions for the intervals estimators of the extremal index and the cluster-size probabilities, Nonparametric inference for discretely sampled Lévy processes, Weighted empirical processes in the nonparametric inference for Lévy processes, A kernel type nonparametric density estimator for decompounding, Nonparametric estimation of the characteristic triplet of a discretely observed Lévy process

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