70 citations · 474 across the 46 of their papers we have counts for
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math.ST2005★ 6 cited
The Bezoutian and Fisher's information matrix of an ARMA process
Andre Klein, Peter Spreij
In this paper we derive some properties of the Bezout matrix and relate the Fisher information matrix for a stationary ARMA process to the Bezoutian. Some properties are explained…
math.ST2005★ 70 cited
A kernel type nonparametric density estimator for decompounding
Bert van Es, Shota Gugushvili, Peter Spreij
Given a sample from a discretely observed compound Poisson process, we consider estimation of the density of the jump sizes. We propose a kernel type nonparametric density estimato…