Maximum Likelihood Estimation of a Compound Poisson Process

Simar, Léopold
(1976) Annals of Statistics — Vol. 4, n° 6, p. 1200-1209 (1976)

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Abstract
The problem of estimating the compounding distribution of a compound Poisson process from independent observations of the compound process has been analyzed by Tucker (1963). A maximum likelihood method is proposed. The existence, uniqueness and convergence of the resulting estimator are derived. One obtains practical solutions by means of a very simple algorithm which is briefly described. A numerical example is presented in the risk business framework.
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Simar, L. (1976). Maximum Likelihood Estimation of a Compound Poisson Process. Annals of Statistics, 4(6), 1200-1209. https://hdl.handle.net/2078.5/35581 (Original work published 1976)