Compound Poisson approximation via information functionals

DOI10.1214/EJP.V15-799MaRDI QIDQ638324zbMATH OpenWikidataFDO

Authors Oliver Johnson, Ioannis Kontoyiannis, Mokshay Madiman, A. D. Barbour

Publication date 9 September 2011

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1004.3692, http://www.emis.de/journals/EJP-ECP/_ejpecp/viewarticle4403.html

zbMATH Keywords

information theoryFisher informationcompound Poisson approximation

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Inequalities; stochastic orderings (60E15) Central limit and other weak theorems (60F05) Measures of information, entropy (94A17)

Abstract: An information-theoretic development is given for the problem of compound Poisson approximation, which parallels earlier treatments for Gaussian and Poisson approximation. Let $P_{S_n}$ be the distribution of a sum $S_n=Sumn{Y}_i$ of independent integer-valued random variables $Y_i$. Nonasymptotic bounds are derived for the distance between $P_{S_n}$ and an appropriately chosen compound Poisson law. In the case where all $Y_i$ have the same conditional distribution given $Y_{i}eq0$, a bound on the relative entropy distance between $P_{S_n}$ and the compound Poisson distribution is derived, based on the data-processing property of relative entropy and earlier Poisson approximation results. When the $Y_i$ have arbitrary distributions, corresponding bounds are derived in terms of the total variation distance. The main technical ingredient is the introduction of two "information functionals," and the analysis of their properties. These information functionals play a role analogous to that of the classical Fisher information in normal approximation. Detailed comparisons are made between the resulting inequalities and related bounds.

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Cited in

(16)

• Compound Poisson approximation for unbounded functions on a group, with application to large deviations
• Improved lower bounds on the total variation distance for the Poisson approximation
• Entropy inequalities for sums in prime cyclic groups
• Majorization and Rényi entropy inequalities via Sperner theory
• Polars and subgradients of mixtures of information functions
• An information-theoretic proof of a finite de Finetti theorem
• BOUNDS ON EXTROPY WITH VARIATIONAL DISTANCE CONSTRAINT
• Information in Probability: Another Information-Theoretic Proof of a Finite de Finetti Theorem
• Log-concavity, ultra-log-concavity, and a maximum entropy property of discrete compound Poisson measures
• Log-Hessian and deviation bounds for Markov semi-groups, and regularization effect in \(\mathbb{L}^1 \)
• Compound Poisson approximation to convolutions of compound negative binomial variables
• Compound Poisson approximation
• Entropy and the fourth moment phenomenon
• Measure concentration for compound Poisson distributions
• Entropy and the discrete central limit theorem
• Entropy and the Law of Small Numbers

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