کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1156613 958849 2013 24 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Density estimation for compound Poisson processes from discrete data
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
Density estimation for compound Poisson processes from discrete data
چکیده انگلیسی

In this article we investigate the nonparametric estimation of the jump density of a compound Poisson process from the discrete observation of one trajectory over [0,T][0,T]. We consider the case where the sampling rate Δ=ΔT→0Δ=ΔT→0 as T→∞T→∞. We propose an adaptive wavelet threshold density estimator and study its performance for LpLp losses, p≥1p≥1, over Besov spaces. The main novelty is that we achieve minimax rates of convergence for sampling rates ΔTΔT that vanish slowly. The estimation procedure is based on the explicit inversion of the operator giving the law of the increments as a nonlinear transformation of the jump density.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 123, Issue 11, November 2013, Pages 3963–3986
نویسندگان
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