Decompounding random sums: a nonparametric approach

DOI10.1007/S10463-008-0200-6MaRDI QIDQ907021zbMATH OpenOpenAlexFDO

Authors Martin Bøgsted, Susan M. Pitts

Publication date 1 February 2016

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

Full work available at URL http://vbn.aau.dk/ws/files/3617270/R-2006-20.pdf

zbMATH Keywords

asymptotic normalityempirical processesfunctional central limit theoreminverse problemscompound distributionsdecompoundinginfinite-dimensional delta method

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Sums of independent random variables; random walks (60G50) Functional limit theorems; invariance principles (60F17)

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Cited in

(12)

• Estimation of the jump size density in a mixed compound Poisson process
• Prediction of components in random sums
• Estimating the distribution of a stochastic sum of IID random variables
• Weighted empirical processes in the nonparametric inference for Lévy processes
• Probabilistic sampling of finite renewal processes
• Decompounding Poisson random sums: recursively truncated estimates in the discrete case
• Statistical inference across time scales
• Maxentropic approach to decompound aggregate risk losses
• Decompounding: an estimation problem for Poisson random sums.
• Nonparametric estimation for derivatives of compound distribution
• A note on recovering the distributions from exponential moments
• Efficient nonparametric inference for discretely observed compound Poisson processes

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