Details
| Original language | English |
|---|---|
| Pages (from-to) | 743-756 |
| Number of pages | 14 |
| Journal | Annals of the Institute of Statistical Mathematics |
| Volume | 56 |
| Issue number | 4 |
| Publication status | Published - Dec 2004 |
Abstract
Given a sample from a discrete compound Poisson distribution, we consider variants of plug-in and likelihood estimators for the corresponding base distribution. These proceed recursively with an intermediate truncation step. We discuss the asymptotic behaviour of the estimators and give some numerical examples. Both procedures compare favourably with the straightforward and the naively projected plug-in estimator that we introduced in Buchmann and Grübel (2003, The Annals of Statistics, 31, 1054-1074).
Keywords
- Compound distributions, Consistency, Discrete distributions, Likelihood, Limit distributions, Plug-in principle
ASJC Scopus subject areas
- Mathematics(all)
- Statistics and Probability
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In: Annals of the Institute of Statistical Mathematics, Vol. 56, No. 4, 12.2004, p. 743-756.
Research output: Contribution to journal › Article › Research › peer review
}
TY - JOUR
T1 - Decompounding poisson random sums
T2 - Recursively truncated estimates in the discrete case
AU - Buchmann, Boris
AU - Grübel, Rudolf
PY - 2004/12
Y1 - 2004/12
N2 - Given a sample from a discrete compound Poisson distribution, we consider variants of plug-in and likelihood estimators for the corresponding base distribution. These proceed recursively with an intermediate truncation step. We discuss the asymptotic behaviour of the estimators and give some numerical examples. Both procedures compare favourably with the straightforward and the naively projected plug-in estimator that we introduced in Buchmann and Grübel (2003, The Annals of Statistics, 31, 1054-1074).
AB - Given a sample from a discrete compound Poisson distribution, we consider variants of plug-in and likelihood estimators for the corresponding base distribution. These proceed recursively with an intermediate truncation step. We discuss the asymptotic behaviour of the estimators and give some numerical examples. Both procedures compare favourably with the straightforward and the naively projected plug-in estimator that we introduced in Buchmann and Grübel (2003, The Annals of Statistics, 31, 1054-1074).
KW - Compound distributions
KW - Consistency
KW - Discrete distributions
KW - Likelihood
KW - Limit distributions
KW - Plug-in principle
UR - http://www.scopus.com/inward/record.url?scp=17044420043&partnerID=8YFLogxK
U2 - 10.1007/BF02506487
DO - 10.1007/BF02506487
M3 - Article
AN - SCOPUS:17044420043
VL - 56
SP - 743
EP - 756
JO - Annals of the Institute of Statistical Mathematics
JF - Annals of the Institute of Statistical Mathematics
SN - 0020-3157
IS - 4
ER -