Nonparametric density estimation in compound Poisson processes using convolution power estimators
From MaRDI portal
Publication:2441318
DOI10.1007/s00184-013-0475-3zbMath1282.62088MaRDI QIDQ2441318
Valentine Genon-Catalot, Céline Duval, Fabienne Comte
Publication date: 24 March 2014
Published in: Metrika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00184-013-0475-3
Related Items
Statistical Inference for Renewal Processes, Detecting and estimating intensity of jumps for discretely observed \(\mathrm{ARMA}D(1,1)\) processes, Nonparametric Bayesian inference for multidimensional compound Poisson processes, Efficient nonparametric inference for discretely observed compound Poisson processes, Nonparametric estimation for compound Poisson process via variational analysis on measures, A non-parametric Bayesian approach to decompounding from high frequency data, Minimax rates for the covariance estimation of multi-dimensional Lévy processes with high-frequency data, Adaptive procedure for Fourier estimators: application to deconvolution and decompounding, Estimation of the Jump Size Density in a Mixed Compound Poisson Process
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Nonparametric estimation of a renewal reward process from discrete data
- Estimation for Lévy processes from high frequency data within a long time interval
- Nonparametric estimation for Lévy processes from low-frequency observations
- Nonparametric estimation for a class of Lévy processes
- Nonparametric inference for Lévy-driven Ornstein-Uhlenbeck processes
- Nonparametric estimation for pure jump Lévy processes based on high frequency data
- Minimum contrast estimators on sieves: Exponential bounds and rates of convergence
- Decompounding: an estimation problem for Poisson random sums.
- Concentration around the mean for maxima of empirical processes
- Nonparametric adaptive estimation for pure jump Lévy processes
- Nonparametric Bayesian estimators for counting processes
- Density estimation for compound Poisson processes from discrete data
- Nonparametric inference for discretely sampled Lévy processes
- Weighted empirical processes in the nonparametric inference for Lévy processes
- A kernel type nonparametric density estimator for decompounding
- Nonparametric inference of discretely sampled stable Lévy processes
- Fast nonparametric estimation for convolutions of densities
- An oracle inequality for penalised projection estimation of Lévy densities from high-frequency observations
- Risk bounds for the non-parametric estimation of Lévy processes
- Nonparametric estimation of the characteristic triplet of a discretely observed Lévy process
- Estimation of an Ergodic Diffusion from Discrete Observations
- Rootnconsistent density estimators for sums of independent random variables
- Introduction to nonparametric estimation
