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Asymptotic efficiency of the moment method for estimating the compound Poisson distribution

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Abstract

Point estimation of distribution parameters is considered for a three-parameter compound Poisson process. Formulas are derived for moment method estimation, including estimate biases and the covariance matrix. Asymptotic efficiency of the parameter estimates with a series informant is examined. The efficiency of moment method estimation is computed and analyzed for typical parameter values.

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Authors
  1. A. G. Belov
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  2. V. Ya. Galkin
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Translated from Prikladnaya Matematika i Informatika, No. 24, pp. 44–53, 2006.

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Belov, A.G., Galkin, V.Y. Asymptotic efficiency of the moment method for estimating the compound Poisson distribution. Comput Math Model 18, 253–262 (2007). https://doi.org/10.1007/s10598-007-0024-x

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  • DOI: https://doi.org/10.1007/s10598-007-0024-x

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