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

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. __________ Translated from Prikladnaya Matematika i Informatika, No. 24, pp. 44–53, 2006.