Some limit results on the Haar-Fisz transform for inhomogeneous Poisson signals

DOI10.4171/ZAA/1367zbMath1151.62067MaRDI QIDQ957473

Thorsten Schmidt, Ling Xu

Publication date: 27 November 2008

Published in: Zeitschrift für Analysis und ihre Anwendungen (Search for Journal in Brave)

Full work available at URL: http://www.ems-ph.org/journals/show_pdf.php?issn=0232-2064&vol=27&iss=4&rank=7

zbMATH Keywords

waveletsinhomogeneous Poisson processintensity estimationshot-noise process

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Non-Markovian processes: estimation (62M09) Markov processes: estimation; hidden Markov models (62M05)

Uses Software

• haarfisz
• ThreshLab

Cites Work

• Unnamed Item
• Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
• Data-driven wavelet-Fisz methodology for nonparametric function estimation
• Shot-noise processes and the minimal martingale measure
• Haar–Fisz Estimation of Evolutionary Wavelet Spectra
• Kalman-Bucy Filtering for Linear Systems Driven by the Cox Process with Shot Noise Intensity and Its Application to the Pricing of Reinsurance Contracts
• Multiscale Poisson Data Smoothing
• The limiting distribution of a function of two independent random variables and its statistical application

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