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Gugushvili, Shota (author), van der Meulen, F.H. (author), Spreij, Peter (author)Given a sample from a discretely observed compound Poisson process, we consider non-parametric estimation of the density f0 of its jump sizes, as well as of its intensity λ0. We take a Bayesian approach to the problem and specify the prior on f0 as the Dirichlet location mixture of normal densities. An independent prior for λ0 is assumed to be...journal article 2016
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Gugushvili, Shota (author), Mariucci, Ester (author), van der Meulen, F.H. (author)Suppose that a compound Poisson process is observed discretely in time and assume that its jump distribution is supported on the set of natural numbers. In this paper we propose a nonparametric Bayesian approach to estimate the intensity of the underlying Poisson process and the distribution of the jumps. We provide a Markov chain Monte Carlo...journal article 2019