Decompounding: an estimation problem for Poisson random sums
Given a sample from a compound Poisson distribution, we consider estimation of the corresponding rate parameter and base distribution. This has applications in insurance mathematics and queueing theory. We propose a plug-in type estimator that is based on a suitable inversion of the compounding operation. Asymptotic results for this estimator are obtained via a local analysis of the decompounding functional.
|Collections||ANU Research Publications|
|Source:||The Annals of Statistics|
|01_Grubel_Decompounding-_an_estimation_2003.pdf||173.53 kB||Adobe PDF|
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