Open Access
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.

Citation

Download Citation

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

Keywords: compound Poisson process , iterative procedures , maximum likelihood method

Rights: Copyright © 1982 Institute of Mathematical Statistics

Vol.10 • No. 3 • September, 1982
Back to Top