Prediction of components in random sums

DOI10.1007/S11009-016-9497-4MaRDI QIDQ2397965zbMATH OpenOpenAlexFDO

Publication date 14 August 2017

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1504.07058

Fourier transform prediction random sums conditional moments Panjer recursion Lévy processes

Processes with independent increments; Lévy processes (60G51) Inference from stochastic processes and prediction (62M20) Prediction theory (aspects of stochastic processes) (60G25) Sums of independent random variables; random walks (60G50)

Abstract: We consider predictions of the random number and the magnitude of each iid component in a random sum based on its distributional structure, where only a total value of the sum is available and where iid random components are non-negative. The problem is motivated by prediction problems in a Poisson shot noise process. In the context, although conditional moments are best possible predictors under the mean square error, only a few special cases have been investigated because of numerical difficulties. We replace the prediction problem of the process with that of a random sum, which is more general, and establish effective numerical procedures. The methods are based on conditional technique together with the Panjer recursion and the Fourier transform. In view of numerical experiments, procedures work reasonably. An application in the compound mixed Poisson process is also suggested.

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