Estimation of parameters in the fractional compound Poisson process

DOI10.1016/J.CNSNS.2014.03.008MaRDI QIDQ2300261zbMATH OpenOpenAlexFDO

Authors Ying Wang, Dehui Wang, Fukang Zhu

Publication date 27 February 2020

Published in Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cnsns.2014.03.008

zbMATH Keywords

fractional compound Poisson processmethod-of-moments estimationMittag-Leffler function

Mathematics Subject Classification ID

Mittag-Leffler functions and generalizations (33E12) Fractional processes, including fractional Brownian motion (60G22) Point estimation (62F10) Asymptotic properties of parametric estimators (62F12)

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Cites work

• A class of CTRWs: compound fractional Poisson processes
• A fractional generalization of the Poisson processes
• Alternative forms of compound fractional Poisson processes
• Estimation of parameters of a compound Poisson process
• Estimation of parameters of fractional stable distributions
• Fractional discrete processes: compound and mixed Poisson representations
• Fractional Poisson process
• Fractional Poisson processes and related planar random motions
• Large deviations for fractional Poisson processes
• Large Sample Techniques for Statistics
• Parameter estimation for fractional birth and fractional death processes
• Parameter estimation for fractional Poisson processes
• Renewal processes of Mittag-Leffler and Wright type
• Simulation and estimation for the fractional Yule process
• Some applications of the fractional Poisson probability distribution
• Statistical properties of several models of fractional random point processes
• The fractional Poisson process and the inverse stable subordinator

Cited in

(9)

• Efficient hedging currency options in fractional Brownian motion model with jumps
• Optimal layer reinsurance for compound fractional Poisson model
• Donsker type theorem for fractional Poisson process
• Fixed relative precision estimators of growth rate for compound Poisson and Lévy processes
• scientific article; zbMATH DE number 5952265 (Why is no real title available?)
• scientific article; zbMATH DE number 7460334 (Why is no real title available?)
• Pricing formula for exchange option based on stochastic delay differential equation with jumps
• Stochastic mortality model with respect to mixed fractional Poisson process: calibration and empirical analysis of long-range dependence in actuarial valuation
• Parameter estimation for fractional Poisson processes

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