Remarks on compound Poisson approximation of Gaussian random sequences

DOI10.1016/S0167-7152(01)00186-9zbMath1001.60032MaRDI QIDQ1613034

Enkelejd Hashorva, Juerg Hüsler

Publication date: 5 September 2002

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

rate of convergencequadratic programmingextreme valuesstationary Gaussian sequencesStein-Chen method

Mathematics Subject Classification ID

Gaussian processes (60G15) Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70)

Related Items (3)

On the residual dependence index of elliptical distributions ⋮ Asymptotics and bounds for multivariate Gaussian tails ⋮ Asymptotic properties of type I elliptical random vectors

Cites Work

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• Stein's method for compound Poisson approximation: The local approach
• Rate of Poisson approximation of the number of exceedances of nonstationary normal sequences
• Compound Poisson approximation in total variation
• The extremes of a triangular array of normal random variables
• Mill's ratio for multivariate normal distributions

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