Estimation of parameters in the fractional compound Poisson process

• Method-of-moments estimators are proposed.
• Asymptotic normality of estimators are established.
• Simulations are given to show good performances of the estimators.

This paper discusses method-of-moments estimators for parameters in the fractional compound Poisson process and establishes asymptotic normality of estimators. Simulation are presented to illustrate the properties of the estimators.