Thomas Deschatre (EDF R&D - FIME) Modeling the dependence between a Poisson process and a continuous semimartingale: an application to electricity spot prices and wind production modeling

In a first part, we consider a doubly stochastic Poisson process with stochastic intensity function of a continuous semimartingale. An estimation procedure is proposed  in a non parametrical setting for this function using a local polynomial estimator. We give a method to select the bandwidth in a non asymptotic framework, leading to an oracle inequality. A parametrical test is also proposed to test if the function belongs to some parametrical family. In a second part, our results are used to Read more [...]