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- W4387121370 abstract "Abstract The compound Poisson process has a wide range ofapplications in many fields. Among these applications, the varianceis a very important quantity. For financial investment event, sometimes the investors may be more concerned about the magnitude ofrisk than return. In this article, we propose a nonparametric methodbased on jackknife empirical likelihood ratio to test the differenceequality of the two variances for two compound Poisson processes. Itshows that the log-empirical likelihood ratio statistic for thedifference of two variance of two sample compound Poisson processesconverges to χ 2 (1) $ as t →∞ in distribution.The simulation results show that the empirical likelihood ratiomethod is applicable. The proposed method has been applied to a realdata set to illustrate the method. 2000 Mathematics Subject Classification 62M86" @default.
- W4387121370 created "2023-09-29" @default.
- W4387121370 creator A5017914382 @default.
- W4387121370 date "2023-09-29" @default.
- W4387121370 modified "2023-10-18" @default.
- W4387121370 title "Jackknife empirical likelihood for variance of two sample compound Poisson processes" @default.
- W4387121370 doi "https://doi.org/10.21203/rs.3.rs-3356839/v1" @default.
- W4387121370 hasPublicationYear "2023" @default.
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