On the accuracy of multivariate compound Poisson approximation.

DOI10.1016/S0167-7152(02)00422-4MaRDI QIDQ1423267zbMATH OpenOpenAlexFDO

Authors S. Yu. Novak

Publication date 14 February 2004

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

Full work available at URL https://doi.org/10.1016/s0167-7152(02)00422-4, https://research.tue.nl/nl/publications/589c0630-a09b-48b0-b212-e54c710f9032

zbMATH Keywords

Compound Poisson approximationDependent random variables

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Multivariate distribution of statistics (62H10) Multivariate analysis (62H99)

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Cites work

• A semigroup approach to Poisson approximation
• Approximation theorems for strongly mixing random variables
• Compound Poisson approximation for nonnegative random variables via Stein's method
• Compound Poisson approximation for the distribution of extremes
• scientific article; zbMATH DE number 3692406 (Why is no real title available?)
• scientific article; zbMATH DE number 52632 (Why is no real title available?)
• scientific article; zbMATH DE number 3226595 (Why is no real title available?)
• scientific article; zbMATH DE number 3080938 (Why is no real title available?)
• Limit theorems for the maximum term of a stationary process
• Modelling extremal events for insurance and finance
• On extreme values in stationary sequences
• On the limiting distribution of extrema
• On using the first difference in the Stein-Chen method
• Poisson approximation for dependent trials
• Poisson approximation for some statistics based on exchangeable trials
• Poisson approximation of the number of exceedances of a discrete-time ^ 2-process
• Some Elementary Results on Poisson Approximation in a Sequence of Bernoulli Trials
• Strong Poisson and mixed approximations of sums of independent random variables in Banach spaces

Cited in

(5)

• Inference for the limiting cluster size distribution of extreme values
• Inequalities for multivariate compound Poisson distributions
• Stein's method for conditional compound Poisson approximation
• Compound Poisson approximations for symmetric vectors
• On exceedances of high levels

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