Adaptive estimation of intensity in a doubly stochastic Poisson process

DOI10.1111/sjos.12651OpenAlexW4366429321MaRDI QIDQ6140338

Thomas Deschatre

Publication date: 2 January 2024

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

Full work available at URL: https://doi.org/10.1111/sjos.12651

zbMATH Keywords

temperaturenonparametric estimationsemi-martingaleoracle inequalitydependencedoubly stochastic Poisson processelectricity pricesminimax optimalitylocal polynomial estimator

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Adaptive tests of homogeneity for a Poisson process
• Weather derivatives and stochastic modelling of temperature
• Bandwidth selection in kernel density estimation: oracle inequalities and adaptive minimax optimality
• Nonparametric inference for a family of counting processes
• Adaptive estimation of the intensity of inhomogeneous Poisson processes via concentration inequalities
• Adaptive estimation in diffusion processes.
• Estimator selection: a new method with applications to kernel density estimation
• Semi-martingale inequalities via the Garsia-Rodemich-Rumsey lemma, and applications to local times
• Kernel estimation in a nonparametric marker dependent hazard model
• Nonparametric inference for a doubly stochastic Poisson process
• Nonparametric estimation in the Cox model
• Estimating the efficient price from the order flow: a Brownian Cox process approach
• Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
• Concentration inequalities, counting processes and adaptive statistics
• MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES
• Non‐parametric Kernel Estimation of the Coefficient of a Diffusion
• Estimating fast mean-reverting jumps in electricity market models
• Inference for a Nonstationary Self-Exciting Point Process with an Application in Ultra-High Frequency Financial Data Modeling
• Introduction to nonparametric estimation
• On estimating the diffusion coefficient: Parametric versus nonparametric.
• Numerical performance of penalized comparison to overfitting for multivariate kernel density estimation

This page was built for publication: Adaptive estimation of intensity in a doubly stochastic Poisson process