On the existence of maximum likelihood estimates for the parameters of the Conway-Maxwell-Poisson distribution

Abstract

. As a well-known and important extension of the common Poisson model with an additional parameter, Conway-Maxwell-Poisson (CMP) distributions allow for describing under-and overdispersion in discrete data. Constituting a two-parameter exponential family, CMP distributions possess useful structural and statistical properties. However, the exponential family is not steep and maximum likelihood estimation may fail even for non-trivial data sets, which is different from the Poisson case, where maximum likelihood estimation only fails if all data outcomes are zero. Conditions are examined for existence and non-existence of maximum likelihood estimates in the full family as well as in subfamilies of CMP distributions, and several figures illustrate the problem.