Results 31 to 40 of about 568,969 (316)
Asymptotic behavior of local times of compound Poisson processes with drift in the infinite variance case [PDF]
, 2012 Consider compound Poisson processes with negative drift and no negative jumps, which converge to some spectrally positive L\'evy process with non-zero L\'evy measure.
Lambert, Amaury, Simatos, Florian
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A regional compound Poisson process for hurricane and tropical storm damage [PDF]
, 2016 In light of intense hurricane activity along the US Atlantic coast, attention has turned to understanding both the economic effect and the behaviour of these storms. The compound Poisson–log‐normal process has been proposed as a model for aggregate storm
Simon Mak, D. Bingham, Yi Lu
semanticscholar +1 more source
Journal of KONES Powertrain and Transport, 2019 The stochastic processes theory provides concepts and theorems that allow building probabilistic models concerning accidents. So called counting process can be applied for modelling the number of the road, sea and railway accidents in the given time ...
F. Grabski
semanticscholar +1 more source
Zanco Journal of Humanity Sciences, 2022 In this research we have dealt with the number of customers (cars) arrive at Periodic vehicles Inspection (PVI) company in Erbil city according to poisson process, service time follows an exponential distribution and the number of cars that require ...
Bestun Merza Abdul-Kareem +1 more
doaj +1 more source
Functional Poisson approximation in Kantorovich-Rubinstein distance with applications to U-statistics and stochastic geometry [PDF]
, 2016 A Poisson or a binomial process on an abstract state space and a symmetric function $f$ acting on $k$-tuples of its points are considered. They induce a point process on the target space of $f$.
Decreusefond, Laurent +2 more
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Estimating the COGARCH(1,1) model - a first go [PDF]
, 2005 We suggest moment estimators for the parameters of a continuous time GARCH(1,1) process based on equally spaced observations. Using the fact that the increments of the COGARCH(1,1) process are ergodic, the resulting estimators are consistent.
Haug, Stephan +3 more
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Fractional Discrete Processes: Compound and Mixed Poisson Representations [PDF]
Journal of Applied Probability, 2014 We consider two fractional versions of a family of nonnegative integer-valued processes. We prove that their probability mass functions solve fractional Kolmogorov forward equations, and we show the overdispersion of these processes. As particular examples in this family, we can define fractional versions of some processes in the literature as the ...
BEGHIN, Luisa, Claudio Macci
openaire +4 more sources
Compositions of Poisson and Gamma processes
Modern Stochastics: Theory and Applications, 2017 In the paper we study the models of time-changed Poisson and Skellam-type processes, where the role of time is played by compound Poisson-Gamma subordinators and their inverse (or first passage time) processes.
Khrystyna Buchak, Lyudmyla Sakhno
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Maximum Likelihood Estimation of a Compound Poisson Process
The Annals of Statistics, 1976 The problem of estimating the compounding distribution of a compound Poisson process from independent observations of the compound process has been analyzed by Tucker (1963). A maximum likelihood method is proposed. The existence, uniqueness and convergence of the resulting estimator are derived.
L. Simar
semanticscholar +4 more sources
On Compound Poisson Processes Arising in Change-Point Type Statistical Models as Limiting Likelihood Ratios [PDF]
, 2010 Different change-point type models encountered in statistical inference for stochastic processes give rise to different limiting likelihood ratio processes. In a previous paper of one of the authors it was established that one of these likelihood ratios,
AN Borodin +20 more
core +6 more sources