Convergence of Simar's Algorithm for Finding the Maximum Likelihood Estimate of a Compound Poisson Process
Open Access
- 1 September 1982
- journal article
- Published by Institute of Mathematical Statistics in The Annals of Statistics
- Vol. 10 (3) , 1006-1008
- https://doi.org/10.1214/aos/1176345890
Abstract
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.Keywords
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