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 language||English (US)|
|Number of pages||12|
|Journal||Annals of the Institute of Statistical Mathematics|
|State||Published - Jul 21 2003|
All Science Journal Classification (ASJC) codes
- Statistics and Probability