Nonparametric estimation for compound Poisson process via variational analysis on measures
Artikel i vetenskaplig tidskrift, 2018

The paper develops new methods of nonparametric estimation of a compound Poisson process. Our key estimator for the compounding (jump) measure is based on series decomposition of functionals of a measure and relies on the steepest descent technique. Our simulation studies for various examples of such measures demonstrate flexibility of our methods. They are particularly suited for discrete jump distributions, not necessarily concentrated on a grid nor on the positive or negative semi-axis. Our estimators also applicable for continuous jump distributions with an additional smoothing step.

Compound Poisson distribution

Gradient methods

Decompounding

Steepest descent algorithms

Measure optimisation

Författare

Alexey Lindo

University of Glasgow

Sergei Zuyev

Göteborgs universitet

Chalmers, Matematiska vetenskaper

Serik Sagitov

Göteborgs universitet

Chalmers, Matematiska vetenskaper, Tillämpad matematik och statistik

Statistics and Computing

0960-3174 (ISSN) 1573-1375 (eISSN)

Vol. 28 3 563-577

Ämneskategorier

Sannolikhetsteori och statistik

Reglerteknik

Signalbehandling

DOI

10.1007/s11222-017-9748-4

Mer information

Senast uppdaterat

2018-04-19