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Inference for Sichel's Compound Poisson Distribution

 

作者: A.C. Atkinson,   Lam Yeh,  

 

期刊: Journal of the American Statistical Association  (Taylor Available online 1982)
卷期: Volume 77, issue 377  

页码: 153-158

 

ISSN:0162-1459

 

年代: 1982

 

DOI:10.1080/01621459.1982.10477779

 

出版商: Taylor & Francis Group

 

关键词: Approximate likelihood;Compound Poisson distribution;Modified Bessel functions of the second and third kinds;Score statistic

 

数据来源: Taylor

 

摘要:

In a long-tailed compound Poisson distribution introduced by Sichel, the probabilities can only readily be calculated if one of the parameters λ has half-integer values, that is, λ =m+ 1/2,minteger. The maximum likelihood estimation of this parameter is compared with an approximate method derived from a grid of half-integer values. It is found that the approximate method, which avoids excessive special computation, yields inferences indistinguishable from those based on maximum likelihood and on the score statistic for testing values of λ. Thus a major numerical impediment to use of Sichel's distribution is removed.

 

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