While writing the paper "Approximate Bayesian Computation to fit and compare insurance loss models", I wrote this C++ experiment to decompound the sums of Geometric-Exponential random sums using ABC-SMC. This start shows some promise, but I don't currently have time to expand this to a more general package, like our abcre Python package. If someone would like to collaborate on this, let me know as I'd probably be keen to return to recommit to this idea after some motivation.
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View Code? Open in Web Editor NEWA C++ Approximate Bayesian Computation experiment (ABC-SMC)