Decompounding under general mixing distributions

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Authors: Denis Belomestny, Ekaterina A. Morozova, Vladimir Panov
Cited by: 1
References: 21

Abstract

This study focuses on statistical inference for compound models of the form X=ξ1+…+ξN, where N is a random variable denoting the count of summands, which are independent and identically distributed (i.i.d.) random variables ξ1,ξ2,…. The paper addresses the problem of reconstructing the distribution of ξ from observed samples of X’s distribution, a process referred to as decompounding, with the assumption that N’s distribution is known. This work diverges from the conventional scope by not limiting N’s distribution to the Poisson type, thus embracing a broader context. We propose a nonparametric estimate for the density of ξ, derive its rates of convergence and prove that these rates are minimax optimal for suitable classes of distributions for ξ and N. Finally, we illustrate the numerical performance of the algorithm on simulated examples.

Fields of Study & Subjects

Markov Chains and Monte Carlo Methods Bayesian Methods and Mixture Models Statistical Methods and Inference

Publication details

Journal / source
Bernoulli
Publisher
Bernoulli Society for Mathematical Statistics and Probability
Volume
32
Issue
2
Publication date
29 January 2026
Language
EN