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Estimating the parameters of Poisson-exponential models

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This paper proposes two methods of estimation for the parameters in a Poisson-exponential model. The proposed methods combine the method of moments with a regression method based on the empirical moment generating function. One of the methods is an adaptation of the mixed-moments procedure of Koutrouvelis & Canavos (1999). The asymptotic distribution of the estimator obtained with this method is derived. Finite-sample comparisons are made with the maximum likelihood estimator and the method of moments. The paper concludes with an exploratory-type analysis of real data based on the empirical moment generating function.
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Keywords: compound Poisson model; empirical moment generating function; maximum likelihood estimator; method of moments; mixed-moments procedure; non-central chi-squared distribution

Document Type: Original Article

Affiliations: University of Patras

Publication date: June 1, 2002

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