When is it no longer possible to estimate a compound Poisson process?
From MaRDI portal
Publication:2444222
DOI10.1214/14-EJS885zbMath1293.62010MaRDI QIDQ2444222
Publication date: 9 April 2014
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.ejs/1396271048
62B15: Theory of statistical experiments
62K99: Design of statistical experiments
62M99: Inference from stochastic processes
Related Items
Efficient nonparametric inference for discretely observed compound Poisson processes, Nonparametric adaptive estimation for grouped data, Nonparametric estimation for compound Poisson process via variational analysis on measures, Nonparametric inference on Lévy measures of compound Poisson-driven Ornstein-Uhlenbeck processes under macroscopic discrete observations, Adaptive procedure for Fourier estimators: application to deconvolution and decompounding
Cites Work
- Unnamed Item
- The truncated Stieltjes moment problem solved by using kernel density functions
- Non-life insurance mathematics. An introduction with the Poisson process
- On the solution of the finite moment problem
- Hausdorff moment problem and maximum entropy: A unified approach
- Asymptotics in statistics. Some basic concepts.
- Equivalence theory for density estimation, Poisson processes and Gaussian white noise with drift
- Statistical inference across time scales
- Renewal reward processes with heavy-tailed inter-renewal times and heavy-tailed rewards
- Asymptotic distributions of continuous-time random walks: A probabilistic approach
- Price Dynamics in a Markovian Limit Order Market
- The restaurant at the end of the random walk: recent developments in the description of anomalous transport by fractional dynamics
- Chance and Stability
- Pricing Perpetual Options for Jump Processes
- Introduction to nonparametric estimation
