Optimal prediction of compound mixed Poisson processes

DOI10.1016/J.JSPI.2006.05.001zbMATH Open1107.62102OpenAlexW2073123712MaRDI QIDQ872089FDOQ872089

Michael Weba

Publication date: 27 March 2007

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2006.05.001

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zbMATH Keywords

risk theorymixed Poisson processnonhomogeneous Poisson processcompound Poisson processbest linear unbiased forecastPólya--Lundberg process

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and prediction (62M20)

Cites Work

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• Aspects of risk theory
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Cited In (5)

• Prediction of components in random sums
• Empirical best prediction under area-level Poisson mixed models
• Nonparametric estimation in random sum models
• Prediction law of mixed Gaussian Volterra processes
• Prediction in Some Poisson Errors in Variables Models

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