Poisson approximation of the number of exceedances of a discrete-time \(\chi ^ 2\)-process (Q1382495)
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scientific article; zbMATH DE number 1134805
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| English | Poisson approximation of the number of exceedances of a discrete-time \(\chi ^ 2\)-process |
scientific article; zbMATH DE number 1134805 |
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Poisson approximation of the number of exceedances of a discrete-time \(\chi ^ 2\)-process (English)
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29 March 1998
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The coupling approach of the Stein-Chen method is used to obtain both limit theorems and rates of convergence in the Poisson approximation of the number of exceedances of a discrete-time \(\chi ^2\)-process. A theorem proving the existence of the so-called monotone coupling is derived and used to estimate an upper bound for the distance between a Poisson distribution and the true distribution of the number of extreme points. For \(\chi ^2 (2)\)-processes this result is further specialized and the rate of convergence is derived explicitly.
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convergence rates
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extreme values
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coupling
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Stein-Chen method
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0.9101138
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0.90674984
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0.8996925
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0.8970077
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