Efficient nonparametric inference for discretely observed compound Poisson processes-Reference-Cited by-同舟云学术

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Efficient nonparametric inference for discretely observed compound Poisson processes

Published:2017-03-16 Issue:1-2 Volume:170 Page:475-523
ISSN:0178-8051
Container-title:Probability Theory and Related Fields
language:en
Short-container-title:Probab. Theory Relat. Fields

Author:

Coca Alberto J.^ORCID

Funder

Fundación La Caixa

Fundación Mutua Madrileña (ES)

Engineering and Physical Sciences Research Council

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Statistics and Probability,Analysis

Link

http://link.springer.com/article/10.1007/s00440-017-0761-5/fulltext.html

Reference39 articles.

1. Belomestny, D., Comte, F., Genon-Catalot, V., Masuda, H., Reiß, M.: Lévy Matters IV. Springer, Berlin (2015)

2. Belomestny, D., Reiß, M.: Spectral calibration for exponential Lévy models. Finance Stoch. 10(4), 449–474 (2006)

3. Bøgsted, M., Pitts, S.M.: Decompounding random sums: a nonparametric approach. Ann. I. Stat. Math. 62(5), 855–872 (2010)

4. Buchmann, B.: Weighted empirical processes in the nonparametric inference for Lévy processes. Math. Methods Stat. 18(4), 281–309 (2009)

5. Buchmann, B., Grübel, R.: Decompounding: an estimation problem for Poisson random sums. Ann. Stat. 31(4), 1054–1074 (2003)

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