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.
Publié le : 1976-11-14
Classification:
Compound Poisson process,
mixed Poisson process,
maximum likelihood method,
risk business,
62G05,
62M99
@article{1176343651,
author = {Simar, Leopold},
title = {Maximum Likelihood Estimation of a Compound Poisson Process},
journal = {Ann. Statist.},
volume = {4},
number = {1},
year = {1976},
pages = { 1200-1209},
language = {en},
url = {http://dml.mathdoc.fr/item/1176343651}
}
Simar, Leopold. Maximum Likelihood Estimation of a Compound Poisson Process. Ann. Statist., Tome 4 (1976) no. 1, pp. 1200-1209. http://gdmltest.u-ga.fr/item/1176343651/