Convergence of Simar's Algorithm for Finding the Maximum Likelihood Estimate of a Compound Poisson Process
| Autor: | Dankmar Bohning |
|---|---|
| Rok vydání: | 1982 |
| Předmět: |
Statistics and Probability
maximum likelihood method Mathematical optimization Compound Poisson process Restricted maximum likelihood Estimation theory iterative procedures Likelihood principle Simar Expectation–maximization algorithm 62M99 Zero-inflated model 62G05 Statistics Probability and Uncertainty Likelihood function Algorithm Mathematics |
| Zdroj: | Ann. Statist. 10, no. 3 (1982), 1006-1008 |
| ISSN: | 0090-5364 |
| DOI: | 10.1214/aos/1176345890 |
| Popis: | Simar (1976) suggested an iteration procedure for finding the maximum likelihood estimate of a compound Poisson process, but he could not show convergence. Here the more general case of maximizing a concave functional on the set of all probability measures is treated. As a generalization of Simar's procedure, an algorithm is given for solving this problem, including assumptions to ensure convergence to an optimum. Finally, it is shown that Simar's functional fulfills these assumptions. |
| Databáze: | OpenAIRE |
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