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Edgeworth expansions for compound Poisson processes and the bootstrap

  • Edgeworth Expansion
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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”.

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Author information

Authors and Affiliations

  1. Department of Statistics, The Pennsylvania State University, 326 Thomas Building, 16802-2111, University Park, PA, USA

    Gutti Jogesh Babu

  2. Department of Statistics, Faculty of Arts and Sciences, Rutgers University, Hill Center Busch Campus, 110 Frelinghuysen Road, 08903, Piscataway, NJ, USA

    Kesar Singh & Yaning Yang

Authors
  1. Gutti Jogesh Babu
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  2. Kesar Singh
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  3. Yaning Yang
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Additional information

Research work of Gutti Jogesh Babu was supported in part by NSF grants DMS-9626189 and DMS-0101360.

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Babu, G.J., Singh, K. & Yang, Y. Edgeworth expansions for compound Poisson processes and the bootstrap. Ann Inst Stat Math 55, 83–94 (2003). https://doi.org/10.1007/BF02530486

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  • DOI: https://doi.org/10.1007/BF02530486

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