On Statistical Analysis of Compound Point Process

On Statistical Analysis of Compound Point Process

The contribution deals with a stochastic process cumulating random increments at random moments (the compound point process). First, its martingale - compensator decomposition is recalled. Then a multiplicative form of the model with the regression on covariates, simultaneously for the intensity of...

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Main Author: Petr Volf
Format: Article
Language:English
Published: Austrian Statistical Society 2016-04-01
Series:Austrian Journal of Statistics
Online Access:http://www.ajs.or.at/index.php/ajs/article/view/387
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spelling doaj-2d0527452dba44009d745dab2c0b7b412021-04-22T12:33:35ZengAustrian Statistical SocietyAustrian Journal of Statistics1026-597X2016-04-01352&310.17713/ajs.v35i2&3.387On Statistical Analysis of Compound Point ProcessPetr Volf0Academy of Sciences of the Czech Republic, Prague, Czech RepublicThe contribution deals with a stochastic process cumulating random increments at random moments (the compound point process). First, its martingale - compensator decomposition is recalled. Then a multiplicative form of the model with the regression on covariates, simultaneously for the intensity of counting process and for the distribution of increments, is considered. Finally, a semi-parametric model is studied, the uniform consistency of estimators and the asymptotic normality of the process of residuals are proved.http://www.ajs.or.at/index.php/ajs/article/view/387
collection DOAJ
language English
format Article
sources DOAJ
author Petr Volf
spellingShingle Petr Volf
On Statistical Analysis of Compound Point Process
Austrian Journal of Statistics
author_facet Petr Volf
author_sort Petr Volf
title On Statistical Analysis of Compound Point Process
title_short On Statistical Analysis of Compound Point Process
title_full On Statistical Analysis of Compound Point Process
title_fullStr On Statistical Analysis of Compound Point Process
title_full_unstemmed On Statistical Analysis of Compound Point Process
title_sort on statistical analysis of compound point process
publisher Austrian Statistical Society
series Austrian Journal of Statistics
issn 1026-597X
publishDate 2016-04-01
description The contribution deals with a stochastic process cumulating random increments at random moments (the compound point process). First, its martingale - compensator decomposition is recalled. Then a multiplicative form of the model with the regression on covariates, simultaneously for the intensity of counting process and for the distribution of increments, is considered. Finally, a semi-parametric model is studied, the uniform consistency of estimators and the asymptotic normality of the process of residuals are proved.
url http://www.ajs.or.at/index.php/ajs/article/view/387
work_keys_str_mv AT petrvolf onstatisticalanalysisofcompoundpointprocess
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