Searched for: subject%3A%22Poisson%255C%252Bprocess%22
(1 - 1 of 1)
document
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