On compound Poisson experiments (Q1077829)

Within the class of Poisson experiments, the compound Poisson experiments - which are of the form (\({\bar \Omega}\),\(\bar {\mathcal A},(P_ t)_{t\in T})\) where \({\bar \Omega}=\cup^{\cdot}_{n\geq 0}\Omega^ n,\) \(P_ t(A)=e^{-\| \mu}t^{\|}\mu_ t^{\otimes n}(A)\) (if \(A\subset \Omega^ n)\) and \(\mu_ t(t\in T)\) are bounded measures on a measurable space (\(\Omega\),\({\mathcal A})\)- constitute an important subclass. According to theorem (3.9) in \textit{A. Janssen}, \textit{H. Milbrodt} and \textit{H. Strasser}, Infinitely divisible statistical experiments. Lect. Notes Stat. 27 (1985; Zbl 0566.62001), which is valid if the parameter set T is finite, a Poisson experiment E is a compound Poisson experiment iff each of its Lévy measures \(M_{\alpha}\) (\(\alpha\in A(T))\) is finite. In this note it is proved that in the general case E is a compound Poisson experiment iff \[ \sup \{\int x_ tM_{\alpha}(dx):\quad \alpha \in A(T),\quad \alpha \ni t\} \] is finite (t denotes a fixed element of T). Furthermore it is shown by some examples that the boundedness of each of the Lévy measures is not a sufficient condition for E being a compound Poisson experiment.