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”.
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Research work of Gutti Jogesh Babu was supported in part by NSF grants DMS-9626189 and DMS-0101360.
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Babu, G.J., Singh, K. & Yang, Y. Edgeworth expansions for compound Poisson processes and the bootstrap. Ann Inst Stat Math 55, 83–94 (2003). https://doi.org/10.1007/BF02530486
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DOI: https://doi.org/10.1007/BF02530486