Estimation of the Jump Size Density in a Mixed Compound Poisson Process
From MaRDI portal
Publication:3460660
DOI10.1111/sjos.12149zbMath1419.62073OpenAlexW1924974529MaRDI QIDQ3460660
Johanna Kappus, Valentine Genon-Catalot, Fabienne Comte, Céline Duval
Publication date: 8 January 2016
Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/sjos.12149
adaptive methodsdeconvolutionpenalization methodnonparametric density estimationmixed compound Poisson process
Related Items
Density deconvolution from repeated measurements without symmetry assumption on the errors, Efficient nonparametric inference for discretely observed compound Poisson processes, Stochastic integral operator model for IS, US and WSSUS channels, Nonparametric adaptive estimation for grouped data
Cites Work
- Unnamed Item
- Unnamed Item
- Nonparametric estimation for Lévy processes from low-frequency observations
- Statistical inference for time-changed Lévy processes via composite characteristic function estimation
- Actuarial statistics with generalized linear mixed models
- Decompounding random sums: a nonparametric approach
- Non-life insurance mathematics. An introduction with the Poisson process
- Nonparametric estimation for pure jump Lévy processes based on high frequency data
- Density estimation for compound Poisson processes from discrete data
- Minimal penalties for Gaussian model selection
- Nonparametric inference for discretely sampled Lévy processes
- Nonparametric density estimation in compound Poisson processes using convolution power estimators
- A kernel type nonparametric density estimator for decompounding
- Fast nonparametric estimation for convolutions of densities
- An oracle inequality for penalised projection estimation of Lévy densities from high-frequency observations
- Sharp Optimality in Density Deconvolution with Dominating Bias. I
- On the effect of estimating the error density in nonparametric deconvolution
