Edgeworth expansions for compound Poisson processes and the bootstrap

  • Gutti Jogesh Babu
  • Kesar Singh
  • Yaning Yang
Edgeworth Expansion

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”.

Key words and phrases

Renewal reward processes Poisson process studentization confidence interval approximate cumulant non-lattice distribution one-term Edgeworth correction by bootstrap 

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Copyright information

© The Institute of Statistical Mathematics 2003

Authors and Affiliations

  • Gutti Jogesh Babu
    • 1
  • Kesar Singh
    • 2
  • Yaning Yang
    • 2
  1. 1.Department of StatisticsThe Pennsylvania State UniversityUniversity ParkUSA
  2. 2.Department of Statistics, Faculty of Arts and SciencesRutgers University, Hill Center Busch CampusPiscatawayUSA

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