Adaptive estimation of intensity in a doubly stochastic Poisson process

DOI10.1111/SJOS.12651MaRDI QIDQ6140338zbMATH OpenOpenAlexFDO

Authors Thomas Deschatre

Publication date 2 January 2024

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/sjos.12651

zbMATH Keywords

dependencedoubly stochastic Poisson processelectricity priceslocal polynomial estimatorminimax optimalitynonparametric estimationoracle inequalitysemi-martingaletemperature

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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Cited in

(3)

• Adaptive estimation of the conditional intensity of marker-dependent counting processes
• Estimating doubly stochastic Poisson process with affine intensities by Kalman filter
• A common shock model for multidimensional electricity intraday price modelling with application to battery valuation

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