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Maximum Likelihood Estimation of a Compound Poisson Process
The Annals of Statistics
Vol. 4, No. 6 (Nov., 1976), pp. 1200-1209
Published by: Institute of Mathematical Statistics
Stable URL: http://www.jstor.org/stable/2958588
Page Count: 10
You can always find the topics here!Topics: Poisson process, Maximum likelihood estimation, Estimators, Mathematical moments, Average linear density, Maximum likelihood estimators, Uniqueness, Perceptron convergence procedure, Business risks, Mass
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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.
The Annals of Statistics © 1976 Institute of Mathematical Statistics