Introduction In this post we implement a function to simulate random samples of a Compound Poisson variable. A random variable \(L\) is a compound Poisson (CP) random variable if there exists a Poisson random variable \(N\), and a random variable \(S\) such that
To be honest, I use the clickbaity word “data” in the title when I really mean “sample statistics”. The point of this post is first illustrated using a sample mean, but applies to any estimate computed from data.