Edgeworth expansions for compound poisson processes and the bootstrap

Gutti Jogesh Babu, Kesar Singh, Yaning Yang

Research output: Contribution to journalArticlepeer-review

9 Scopus citations

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

All Science Journal Classification (ASJC) codes

  • Statistics and Probability

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