Edgeworth expansions for compound poisson processes and the bootstrap

G. Jogesh Babu, Kesar Singh, Yaning Yang

Research output: Contribution to journalArticle

8 Citations (Scopus)

Abstract

One-term Edgeworth Expansions for the studentized version of compound Poisson processes are developed. For a suitably defined bootstrap in this context, the so called one-term Edgeworth correction by bootstrap is also established. The results are applicable for constructing second-order correct confidence intervals (which make correction for skewness) for the parameter "mean reward per unit time".

Original languageEnglish (US)
Pages (from-to)83-94
Number of pages12
JournalAnnals of the Institute of Statistical Mathematics
Volume55
Issue number1
DOIs
StatePublished - Jul 21 2003

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Edgeworth Expansion
Compound Poisson Process
Bootstrap
Skewness
Term
Reward
Confidence interval
Unit
Context

All Science Journal Classification (ASJC) codes

  • Statistics and Probability

Cite this

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Edgeworth expansions for compound poisson processes and the bootstrap. / Babu, G. Jogesh; Singh, Kesar; Yang, Yaning.

In: Annals of the Institute of Statistical Mathematics, Vol. 55, No. 1, 21.07.2003, p. 83-94.

Research output: Contribution to journalArticle

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