摘要 : Abstract In this paper, I consider a doubly stochastic Poisson process with intensity λt=qXt$$ {\lambda}_t=q\left({X}_t\right) $$ where X$$ X $$ is a continuous Itô semi‐martingale. Both processes are observed continuously over a... 展开
作者 | Thomas Deschatre |
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作者单位 | |
期刊名称 | 《Scandinavian journal of statistics》 |
页码/总页数 | 1756-1794 / 39 |
语种/中图分类号 | 英语 / TP3 |
关键词 | dependence doubly stochastic Poisson process electricity prices local polynomial estimator minimax optimality nonparametric estimation Oracle inequality semi‐martingale temperature |
DOI | 10.1111/sjos.12651 |
馆藏号 | C-077 |