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English | A new method for bounding the distance between sums of independent integer-valued random variables |
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A new method for bounding the distance between sums of independent integer-valued random variables (English)
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22 November 2010
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Let \(X_1,X_2,\ldots,X_n\) and \(Y_1,Y_2,\ldots,Y_n\) be two sequences of independent integer-valued random variables that have finite second moments. Using the \(\zeta_2\)-metric, the author obtains upper bounds for the Kolmogorov and the total variation distances between the distributions of the sums \(\sum_{i=1}^nX_i\) and \(\sum_{i=1}^nY_i\). The bounds are particularly simple when the distributions of \(X_i\) and \(Y_i\) are comparable in the convex stochastic order for \(i=1,2,\ldots,n\), as well as when \(E(X_i)=E(Y_i)\) and the event \(\{Y_i\neq0\}\) is rare for \(i=1,2,\ldots,n\). As applications the author considers a negative binomial approximation for sums of discrete random variables that are of interest in reliability theory, and Poisson and compound Poisson approximations for sums of independent nonnegative integer-valued random variables.
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Kolmogorov distance
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total variation distance
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Zolotarev's ideal metric of order 2
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convex order
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discrete HNBUE/HNWUE distribution
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negative binomial approximation
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Poisson approximation
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compound Poisson approximation
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