Poisson approximation of the number of exceedances of a discrete-time \(\chi ^ 2\)-process (Q1382495)

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.