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November, 1976 Maximum Likelihood Estimation of a Compound Poisson Process
Leopold Simar
Ann. Statist. 4(6): 1200-1209 (November, 1976). DOI: 10.1214/aos/1176343651


The problem of estimating the compounding distribution of a compound Poisson process from independent observations of the compound process has been analyzed by Tucker (1963). A maximum likelihood method is proposed. The existence, uniqueness and convergence of the resulting estimator are derived. One obtains practical solutions by means of a very simple algorithm which is briefly described. A numerical example is presented in the risk business framework.


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Leopold Simar. "Maximum Likelihood Estimation of a Compound Poisson Process." Ann. Statist. 4 (6) 1200 - 1209, November, 1976.


Published: November, 1976
First available in Project Euclid: 12 April 2007

zbMATH: 0362.62095
MathSciNet: MR428582
Digital Object Identifier: 10.1214/aos/1176343651

Primary: 62G05
Secondary: 62M99

Keywords: compound Poisson process , maximum likelihood method , mixed Poisson process , risk business

Rights: Copyright © 1976 Institute of Mathematical Statistics

Vol.4 • No. 6 • November, 1976
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