Efficient nonparametric inference for discretely observed compound Poisson processes
Compound Poisson processes are the textbook example of pure jump stochastic processes and the building blocks of Lévy processes. They have three defining parameters: the distribution of the jumps, the intensity driving the frequency at which these occur, and the drift. They are used in numerous appl...
| Main Author: | |
|---|---|
| Published: |
University of Cambridge
2017
|
| Subjects: | |
| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.707794 |