Nonparametric Bayesian inference for multidimensional compound Poisson processes

DOI10.15559/15-VMSTA20zbMATH Open1349.62115MaRDI 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

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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)

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Cited In (12)

• Compound Poisson processes, latent shrinkage priors and Bayesian nonconvex penalization
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• 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
• Nonparametric Bayesian inference for Gamma-type Lévy subordinators
• Bayesian inference for partially observed multiplicative intensity processes
• Adaptive procedure for Fourier estimators: application to deconvolution and decompounding
• Efficient nonparametric inference for discretely observed compound Poisson processes

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