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2018
This chapter reviews the basic facts about the simulation and inference for compound Poisson processes. Univariate and multivariate models are considered in full details. Full R code for completing the above analyses with yuima package is provided.
Stefano M. Iacus, Nakahiro Yoshida
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This chapter reviews the basic facts about the simulation and inference for compound Poisson processes. Univariate and multivariate models are considered in full details. Full R code for completing the above analyses with yuima package is provided.
Stefano M. Iacus, Nakahiro Yoshida
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1991
One motivation for the model we develop in this chapter is provided by the atmospheric-noise data shown in Fig. 1.3. It is evident that a point process model can account for the occurrence times of the pulses. However, these times alone do not reflect all of the significant features. The amplitudes of the pulses exhibit wide variation and have a strong
Donald L. Snyder, Michael I. Miller
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One motivation for the model we develop in this chapter is provided by the atmospheric-noise data shown in Fig. 1.3. It is evident that a point process model can account for the occurrence times of the pulses. However, these times alone do not reflect all of the significant features. The amplitudes of the pulses exhibit wide variation and have a strong
Donald L. Snyder, Michael I. Miller
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Poisson processes and compound Poisson processes in insurance management [PDF]
Interdisciplinary Management Research, 2010 Some assumptions with respect to the number and the amount of damages are introduced in the paper. It will be assumed that the average of the number of damages is a Poisson process, which leads to a compound Poisson process for the total damages.
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Exit problems for the difference of a compound Poisson process and a compound renewal process
Queueing Systems, 2008zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Kadankova, Tetyana, Kadankov, Victor
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Optimization methods for compound poisson risk processes
Cybernetics and Systems Analysis, 1998zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Lyubchenko, G. I., Nakonechnyi, A. N.
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Point processes subordinated to compound Poisson processes
Theory of Probability and Mathematical Statistics, 2017zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Kobylych, K. V., Sakhno, L. M.
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A Modified Compound Poisson Process with Normal Compounding
Journal of the American Statistical Association, 1968The compound Poisson process in which the compounding variables are normally distributed is considered as a special case of a slightly more general process. The model is suggested for studying the behavior of security prices in the stock market.
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Journal of Computational Biology, 1998
We derive a Poisson process approximation for the occurrences of clumps of multiple words and a compound Poisson process approximation for the number of occurrences of multiple words in a sequence of letters generated by a stationary Markov chain. Using the Chen-Stein method, we provide a bound on the error in the approximations.
Gesine Reinert, Sophie Schbath
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We derive a Poisson process approximation for the occurrences of clumps of multiple words and a compound Poisson process approximation for the number of occurrences of multiple words in a sequence of letters generated by a stationary Markov chain. Using the Chen-Stein method, we provide a bound on the error in the approximations.
Gesine Reinert, Sophie Schbath
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Compound Poisson Processes with Two-Sided Reflection
Ukrainian Mathematical Journal, 2002The author deals with a compound oscillating Poisson process with two-sided reflection. This process is given by an upper semi-continuous compound Poisson process \(\xi(t)\) and its functionals: time of the first exit of \(\xi(t)\) from an interval and times of the first exits of \(\xi(t)\) from the upper and the lower levels.
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Stopped Compound Poisson Process and Related Distributions
2007This chapter considers the first-crossing problem of a compound Poisson process with positive integer-valued jumps in a nondecreasing lower boundary. The cases where the boundary is a given linear function, a standard renewal process, or an arbitrary deterministic function are successively examined.
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