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Decompounding: an estimation problem for Poisson random sums

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dc.contributor.authorBuchmann, Boris
dc.contributor.authorGrübel, Rudolf
dc.date.accessioned2016-03-03T23:23:55Z
dc.date.available2016-03-03T23:23:55Z
dc.date.issued2003
dc.date.updated2016-06-14T08:38:49Z
dc.description.abstractGiven 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.
dc.identifier.issn0090-5364en_AU
dc.identifier.urihttp://hdl.handle.net/1885/99989
dc.publisherInstitute of Mathematical Statistics
dc.rights© Institute of Mathematical Statistics, 2003. http://www.sherpa.ac.uk/romeo/issn/0090-5364..."author can archive publisher's version/PDF. On author's personal website or open access repository" from SHERPA/RoMEO site (as at 4/03/16).
dc.sourceThe Annals of Statistics
dc.subjectKeywords: Asymptotic normality; Compound distributions; Delta method; Plug-in principle; Queues with bulk arrival; Risk theory
dc.titleDecompounding: an estimation problem for Poisson random sums
dc.typeJournal article
dcterms.accessRightsOpen Accessen_AU
local.bibliographicCitation.issue4en_AU
local.bibliographicCitation.lastpage1074en_AU
local.bibliographicCitation.startpage1054en_AU
local.contributor.affiliationBuchmann, Boris, College of Physical and Mathematical Sciences, CPMS Mathematical Sciences Institute, Centre for Mathematics and Its Applications, The Australian National Universityen_AU
local.contributor.affiliationGruebel, Rudolf, University of Hannover, Germanyen_AU
local.contributor.authoruidu4164354en_AU
local.description.notesImported from ARIES. At the time of publication the author Buchmann was affiliated Technische Universität München.en_AU
local.identifier.absfor010406en_AU
local.identifier.ariespublicationu3169606xPUB79en_AU
local.identifier.citationvolume31en_AU
local.identifier.doi10.1214/aos/1059655905en_AU
local.identifier.scopusID2-s2.0-0141462756
local.publisher.urlhttp://imstat.org/en/index.htmlen_AU
local.type.statusPublished Versionen_AU

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