The Annals of Statistics
- Ann. Statist.
- Volume 4, Number 6 (1976), 1200-1209.
Maximum Likelihood Estimation of a Compound Poisson Process
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.
Ann. Statist. Volume 4, Number 6 (1976), 1200-1209.
First available in Project Euclid: 12 April 2007
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Simar, Leopold. Maximum Likelihood Estimation of a Compound Poisson Process. Ann. Statist. 4 (1976), no. 6, 1200--1209. doi:10.1214/aos/1176343651. http://projecteuclid.org/euclid.aos/1176343651.