When is it no longer possible to estimate a compound Poisson process?

DOI10.1214/14-EJS885zbMath1293.62010MaRDI QIDQ2444222

Céline Duval

Publication date: 9 April 2014

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ejs/1396271048

zbMATH Keywords

compound Poisson processinformation lossdiscretely observed random process

Mathematics Subject Classification ID

Theory of statistical experiments (62B15) Design of statistical experiments (62K99) Inference from stochastic processes (62M99)

Related Items

Nonparametric estimation for compound Poisson process via variational analysis on measures ⋮ Efficient nonparametric inference for discretely observed compound Poisson processes ⋮ Nonparametric adaptive estimation for grouped data ⋮ Nonparametric inference on Lévy measures of compound Poisson-driven Ornstein-Uhlenbeck processes under macroscopic discrete observations ⋮ Adaptive procedure for Fourier estimators: application to deconvolution and decompounding

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