Abstract
The paper examines best linear unbiased prediction of compound mixed Poisson processes where typical stipulations such as conditional or unconditional independence of the increments are weakened. Explicit representations of the optimal forecast, its asymptotic distribution and the minimum mean square error are established. The article also discusses applications to special processes of risk theory including Pólya–Lundberg processes and nonstationary Poisson processes with time-dependent arrival rates.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.