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September, 1982 Convergence of Simar's Algorithm for Finding the Maximum Likelihood Estimate of a Compound Poisson Process
Dankmar Bohning
Ann. Statist. 10(3): 1006-1008 (September, 1982). DOI: 10.1214/aos/1176345890

Abstract

Simar (1976) suggested an iteration procedure for finding the maximum likelihood estimate of a compound Poisson process, but he could not show convergence. Here the more general case of maximizing a concave functional on the set of all probability measures is treated. As a generalization of Simar's procedure, an algorithm is given for solving this problem, including assumptions to ensure convergence to an optimum. Finally, it is shown that Simar's functional fulfills these assumptions.

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Dankmar Bohning. "Convergence of Simar's Algorithm for Finding the Maximum Likelihood Estimate of a Compound Poisson Process." Ann. Statist. 10 (3) 1006 - 1008, September, 1982. https://doi.org/10.1214/aos/1176345890

Information

Published: September, 1982
First available in Project Euclid: 12 April 2007

MathSciNet: MR663451
Digital Object Identifier: 10.1214/aos/1176345890

Subjects:
Primary: 62G05
Secondary: 62M99

Rights: Copyright © 1982 Institute of Mathematical Statistics

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Vol.10 • No. 3 • September, 1982
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