15 citations · 20 across the 2 of their papers we have counts for
2 papers
math.ST2018★ 5 cited
Adaptive nonparametric estimation for compound Poisson processes robust to the discrete-observation scheme
Alberto J. Coca
A compound Poisson process whose jump measure and intensity are unknown is observed at finitely many equispaced times. We construct a purely data-driven estimator of the Lévy densi…
math.ST2015★ 15 cited
Efficient nonparametric inference for discretely observed compound Poisson processes
Alberto J. Coca
A compound Poisson process whose parameters are all unknown is observed at finitely many equispaced times. Nonparametric estimators of the jump and Lévy distributions are proposed…