A characterization of the compound multiparameter Hermite gamma distribution via Gauss's principle (Q904592)

Summary: We consider the class of those distributions that satisfy Gauss's principle (the maximum likelihood estimator of the mean is the sample mean) and have a parameter orthogonal to the mean. It is shown that this so-called ``mean orthogonal class'' is closed under convolution. A previous characterization of the compound gamma characterization of random sums is revisited and clarified. A new characterization of the compound distribution with multiparameter Hermite count distribution and gamma severity distribution is obtained.