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Maximum Likelihood Estimation of a Compound Poisson Process

Leopold Simar
The Annals of Statistics
Vol. 4, No. 6 (Nov., 1976), pp. 1200-1209
Stable URL: http://www.jstor.org/stable/2958588
Page Count: 10
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Abstract

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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