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Convergence of Simar's Algorithm for Finding the Maximum Likelihood Estimate of a Compound Poisson Process

Dankmar Bohning
The Annals of Statistics
Vol. 10, No. 3 (Sep., 1982), pp. 1006-1008
Stable URL: http://www.jstor.org/stable/2240923
Page Count: 3
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Convergence of Simar's Algorithm for Finding the Maximum Likelihood Estimate of a Compound Poisson Process
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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.

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