Decompounding discrete distributions: A nonparametric Bayesian approach

DOI10.1111/SJOS.12413MaRDI QIDQ5118466zbMATH OpenOpenAlexWikidataFDO

Authors Shota Gugushvili, Ester Mariucci, Frank van der Meulen

Publication date 8 September 2020

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1903.11142

zbMATH Keywords

data augmentationGibbs samplerMetropolis-Hastings algorithmDiophantine equationnonparametric Bayesian estimationcompound Poisson process

Mathematics Subject Classification ID

Density estimation (62G07) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Abstract: Suppose that a compound Poisson process is observed discretely in time and assume that its jump distribution is supported on the set of natural numbers. In this paper we propose a non-parametric Bayesian approach to estimate the intensity of the underlying Poisson process and the distribution of the jumps. We provide a MCMC scheme for obtaining samples from the posterior. We apply our method on both simulated and real data examples, and compare its performance with the frequentist plug-in estimator proposed by Buchmann and Gr"ubel. On a theoretical side, we study the posterior from the frequentist point of view and prove that as the sample size $nightarrowinfty$, it contracts around the `true', data-generating parameters at rate $1/sqrtn$, up to a $logn$ factor.

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Cited in

(9)

• Decompounding Poisson random sums: recursively truncated estimates in the discrete case
• Nonparametric Bayesian inference for multidimensional compound Poisson processes
• Nonparametric Bayesian volatility estimation for gamma-driven stochastic differential equations
• Compound Dirichlet processes
• Efficient approximation of probability distributions with \(k\)-order decomposable models
• A non-parametric Bayesian approach to decompounding from high frequency data
• Decompounding: an estimation problem for Poisson random sums.
• Discretizing a compound distribution with application to categorical modelling
• Nonparametric estimation for compound Poisson process via variational analysis on measures

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