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Computation of M. L. estimates for the parameters of a negative binomial distribution from grouped data. A comparison of the scoring, Newton—Raphson and E‐M algorithms

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  • Martin Schader
  • Friedrich Schmid

Abstract

Computation of M. L. estimates for the parameters of a negative binomial distribution from grouped data is considered. For this problem the Scoring, Newton—Raphson and E‐M algorithm is derived. Using simulated data the performance of the algorithms is compared with respect to convergence, number of iterations and computing time. Finally an empirical example drawn from actuarial science is given.

Suggested Citation

  • Martin Schader & Friedrich Schmid, 1985. "Computation of M. L. estimates for the parameters of a negative binomial distribution from grouped data. A comparison of the scoring, Newton—Raphson and E‐M algorithms," Applied Stochastic Models and Data Analysis, John Wiley & Sons, vol. 1(1), pages 11-23.
    • Handle: RePEc:wly:apsmda:v:1:y:1985:i:1:p:11-23
    DOI: 10.1002/asm.3150010104
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