Nonparametric Bayesian inference for multidimensional compound Poisson processes
Given a sample from a discretely observed multidimensional compound Poisson process, we study the problem of nonparametric estimation of its jump size density $r_{0}$ and intensity $\lambda _{0}$. We take a nonparametric Bayesian approach to the problem and determine posterior contraction rates in t...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
VTeX
2015-03-01
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| Series: | Modern Stochastics: Theory and Applications |
| Subjects: | |
| Online Access: | https://vmsta.vtex.vmt/doi/10.15559/15-VMSTA20 |