COMPOUND POISSON APPROXIMATION FOR NONNEGATIVE RANDOM-VARIABLES VIA STEIN METHOD

被引：103
作者：
BARBOUR, AD
CHEN, LHY
LOH, WL
机构：
[1] NATL UNIV SINGAPORE, DEPT MATH, SINGAPORE 0511, SINGAPORE
[2] PURDUE UNIV, DEPT STAT, W LAFAYETTE, IN 47907 USA
来源：
ANNALS OF PROBABILITY | 1992年 / 20卷 / 04期
关键词：
STEINS METHOD; COMPOUND POISSON DISTRIBUTION; TOTAL VARIATION DISTANCE; RATE OF CONVERGENCE;
D O I：
10.1214/aop/1176989531
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
The aim of this paper is to extend Stein's method to a compound Poisson distribution setting. The compound Poisson distributions of concern here are those of the form POIS(v), where v is a finite positive measure on (0, infinity). A number of results related to these distributions are established. These in turn are used in a number of examples to give bounds for the error in the compound Poisson approximation to the distribution of a sum of random variables.
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页码：1843 / 1866
页数：24
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