Edgeworth expansions for compound poisson processes and the bootstrap

Gutti Jogesh Babu; Kesar Singh; Yaning Yang

doi:10.1023/A:1024678513677

Edgeworth expansions for compound poisson processes and the bootstrap

Gutti Jogesh Babu, Kesar Singh, Yaning Yang

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13 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 language	English (US)
Pages (from-to)	83-94
Number of pages	12
Journal	Annals of the Institute of Statistical Mathematics
Volume	55
Issue number	1
DOIs	https://doi.org/10.1023/A:1024678513677
State	Published - 2003

All Science Journal Classification (ASJC) codes

Statistics and Probability

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10.1023/A:1024678513677

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title = "Edgeworth expansions for compound poisson processes and the bootstrap",

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{"}.",

author = "Babu, {Gutti Jogesh} and Kesar Singh and Yaning Yang",

note = "Funding Information: Edgeworth expansions for pivotal quantities such as the studentized mean are difficult to derive for general renewal reward processes. We shall investigate the general case in a later paper. In this article we concentrate on the compound Poisson process *Research work of Gutti Jogesh Babu was supported in part by NSF grants DMS-9626189 and DMS-0101360.",

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doi = "10.1023/A:1024678513677",

language = "English (US)",

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pages = "83--94",

journal = "Annals of the Institute of Statistical Mathematics",

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T1 - Edgeworth expansions for compound poisson processes and the bootstrap

AU - Babu, Gutti Jogesh

AU - Singh, Kesar

AU - Yang, Yaning

N1 - Funding Information: Edgeworth expansions for pivotal quantities such as the studentized mean are difficult to derive for general renewal reward processes. We shall investigate the general case in a later paper. In this article we concentrate on the compound Poisson process *Research work of Gutti Jogesh Babu was supported in part by NSF grants DMS-9626189 and DMS-0101360.

PY - 2003

Y1 - 2003

N2 - 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".

AB - 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".

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JO - Annals of the Institute of Statistical Mathematics

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Edgeworth expansions for compound poisson processes and the bootstrap

Abstract

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