most citedNonparametric Bayesian inference for multidimensional compound Poisson processes

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math.ST2014★ 12 cited

Nonparametric Bayesian inference for multidimensional compound Poisson processes

Shota Gugushvili, Frank van der Meulen, Peter Spreij

Given a sample from a discretely observed multidimensional compound Poisson process, we study the problem of nonparametric estimation of its jump size density and intensity $…