Nonparametric Bayesian inference for multidimensional compound Poisson processes

DOI10.15559/15-VMSTA20zbMATH Open1349.62115arXiv1412.7739MaRDI QIDQ340753FDOQ340753

Authors: Shota Gugushvili, Peter Spreij, Frank van der Meulen 

Publication date: 15 November 2016

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Abstract: Given a sample from a discretely observed multidimensional compound Poisson process, we study the problem of nonparametric estimation of its jump size density $r_0$ and intensity $lambd{a}_0$. We take a nonparametric Bayesian approach to the problem and determine posterior contraction rates in this context, which, under some assumptions, we argue to be optimal posterior contraction rates. In particular, our results imply the existence of Bayesian point estimates that converge to the true parameter pair $(r_0,lambd{a}_0)$ at these rates. To the best of our knowledge, construction of nonparametric density estimators for inference in the class of discretely observed multidimensional L'{e}vy processes, and the study of their rates of convergence is a new contribution to the literature.

Full work available at URL: https://arxiv.org/abs/1412.7739

Recommendations

• Decompounding discrete distributions: A nonparametric Bayesian approach
• A non-parametric Bayesian approach to decompounding from high frequency data
• Efficient nonparametric inference for discretely observed compound Poisson processes
• Bernstein-von Mises theorems for statistical inverse problems. II: Compound Poisson processes
• Nonparametric density estimation in compound Poisson processes using convolution power estimators

zbMATH Keywords

decompoundingmultidimensional compound Poisson processnonparametric Bayesian estimationposterior contraction rate

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Bayesian inference (62F15) Nonparametric estimation (62G05) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Inference from spatial processes (62M30)

Cites Work

• A Bayesian analysis of some nonparametric problems
• Title not available (Why is that?)
• Convergence rates of posterior distributions.
• Posterior concentration rates for counting processes with Aalen multiplicative intensities
• Convergence rates for density estimation with Bernstein polynomials.
• On a class of Bayesian nonparametric estimates: I. Density estimates
• Statistical inference for spatial Poisson processes
• Adaptive Bayesian multivariate density estimation with Dirichlet mixtures
• Title not available (Why is that?)
• Nonparametric estimation for Lévy processes from low-frequency observations
• Nonparametric adaptive estimation for pure jump Lévy processes
• Density estimation for compound Poisson processes from discrete data
• Nonparametric density estimation in compound Poisson processes using convolution power estimators
• A user's guide to measure theoretic probability
• Title not available (Why is that?)
• Title not available (Why is that?)
• Decompounding: an estimation problem for Poisson random sums.
• A kernel type nonparametric density estimator for decompounding
• Decompounding Poisson random sums: recursively truncated estimates in the discrete case
• Nonparametric inference on Lévy measures and copulas
• Estimation for Lévy processes from high frequency data within a long time interval

Cited In (9)

• Title not available (Why is that?)
• A non-parametric Bayesian approach to decompounding from high frequency data
• Nonparametric Bayesian analysis of the compound Poisson prior for support boundary recovery
• Bernstein-von Mises theorems for statistical inverse problems. II: Compound Poisson processes
• An inverse problem for infinitely divisible moving average random fields
• Efficient Bayesian inference for COM-Poisson regression models
• Nonparametric Bayesian volatility estimation for gamma-driven stochastic differential equations
• Adaptive procedure for Fourier estimators: application to deconvolution and decompounding
• Efficient nonparametric inference for discretely observed compound Poisson processes

This page was built for publication: Nonparametric Bayesian inference for multidimensional compound Poisson processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q340753)