Edgeworth expansions for compound Poisson processes and the bootstrap
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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 phrasesRenewal reward processes Poisson process studentization confidence interval approximate cumulant non-lattice distribution one-term Edgeworth correction by bootstrap
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