Nonparametric estimation for compound Poisson process via variational analysis on measures

DOI10.1007/s11222-017-9748-4zbMath1384.62116OpenAlexW2605652062WikidataQ59611655 ScholiaQ59611655MaRDI QIDQ1703856

Sergei Zuyev, Serik Sagitov, Alexey Lindo

Publication date: 7 March 2018

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://research.chalmers.se/en/publication/048eb1c6-0cc8-473b-9b5a-394161c36d50

zbMATH Keywords

gradient methodscompound Poisson distributiondecompoundingsteepest descent algorithmsmeasure optimisation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (1)

An inverse problem for infinitely divisible moving average random fields

Uses Software

• R

Cites Work

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