Decompounding: an estimation problem for Poisson random sums
Decompounding: an estimation problem for Poisson random sums
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DOI：
10.1214/aos/1059655905
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发表时间：
2003-08
影响因子：
4.5
通讯作者：
B. Buchmann;R. Grübel
中科院分区：
文献类型：
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作者：
B. Buchmann;R. Grübel
给定复合泊松分布的样本，我们考虑估计相应的速率参数和基本分布。这在保险数学和排队论中都有应用。我们提出了一种基于复合运算的适当反转的插件型估计器。该估计量的渐近结果是通过分解泛函的局部分析获得的。
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.