Parameter estimation for convolutions and compound distributions |
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| Affiliation: | Department of Management, The University of Texas, Texas, TX 78712, USA;The Pennsylvania State University, University, Park, PA 16802, USA;The University of Texas at Austin, Austin, TX 78712, USA |
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| Abstract: | In this paper, we consider estimating the parameters of convolutions and compound distributions using their components. We show that the component estimators of variance are always at least as efficient as direct estimators, and investigate the effects of changes in the components upon their elative efficiency. |
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