EXPANSIONS FOR MOMENTS OF COMPOUND POISSON DISTRIBUTIONS

Expansions for moments of $\overline{X}$, the mean of a random sample of size n, are given for both the univariate and multivariate cases. The coefficients of these expansions are simply Bell polynomials. An application is given for the compound Poisson variable SN, where $S_{n} = n \overline{X}$ an...

Full description

Saved in:
Bibliographic Details
Published in:Probability in the engineering and informational sciences 2013-07, Vol.27 (3), p.319-331
Main Authors: Nadarajah, S., Withers, C.S., Bakar, S.A.A.
Format: Article
Language:English
Subjects:
Bells
Computational efficiency
Poisson distribution
Poisson distributions
Polynomials
Random variables
Recursion
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:Expansions for moments of $\overline{X}$, the mean of a random sample of size n, are given for both the univariate and multivariate cases. The coefficients of these expansions are simply Bell polynomials. An application is given for the compound Poisson variable SN, where $S_{n} = n \overline{X}$ and N is a Poisson random variable independent of X1, X2, …, yielding expansions that are computationally more efficient than the Panjer recursion formula and Grubbström and Tang's formula.
ISSN:0269-9648
1469-8951
DOI:10.1017/S0269964813000053