Decompounding discrete distributions: A non-parametric Bayesian approach

@article{Gugushvili2019DecompoundingDD,
  title={Decompounding discrete distributions: A non-parametric Bayesian approach},
  author={Shota Gugushvili and Ester Mariucci and F. V. Meulen},
  journal={arXiv: Statistics Theory},
  year={2019}
}
Suppose that a compound Poisson process is observed discretely in time and assume that its jump distribution is supported on the set of natural numbers. In this paper we propose a non-parametric Bayesian approach to estimate the intensity of the underlying Poisson process and the distribution of the jumps. We provide a MCMC scheme for obtaining samples from the posterior. We apply our method on both simulated and real data examples, and compare its performance with the frequentist plug-in… Expand
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