Details
| Originalsprache | Englisch |
|---|---|
| Seiten (von - bis) | 1054-1074 |
| Seitenumfang | 21 |
| Fachzeitschrift | Annals of Statistics |
| Jahrgang | 31 |
| Ausgabenummer | 4 |
| Publikationsstatus | Veröffentlicht - Aug. 2003 |
Abstract
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.
ASJC Scopus Sachgebiete
- Mathematik (insg.)
- Statistik und Wahrscheinlichkeit
- Entscheidungswissenschaften (insg.)
- Statistik, Wahrscheinlichkeit und Ungewissheit
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in: Annals of Statistics, Jahrgang 31, Nr. 4, 08.2003, S. 1054-1074.
Publikation: Beitrag in Fachzeitschrift › Artikel › Forschung › Peer-Review
}
TY - JOUR
T1 - Decompounding
T2 - An estimation problem for Poisson random sums
AU - Buchmann, Boris
AU - Grübel, Rudolf
PY - 2003/8
Y1 - 2003/8
N2 - 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.
AB - 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.
KW - Asymptotic normality
KW - Compound distributions
KW - Delta method
KW - Plug-in principle
KW - Queues with bulk arrival
KW - Risk theory
UR - http://www.scopus.com/inward/record.url?scp=0141462756&partnerID=8YFLogxK
U2 - 10.1214/aos/1059655905
DO - 10.1214/aos/1059655905
M3 - Article
AN - SCOPUS:0141462756
VL - 31
SP - 1054
EP - 1074
JO - Annals of Statistics
JF - Annals of Statistics
SN - 0090-5364
IS - 4
ER -