Smoothing effect of compound Poisson approximations to the distributions of weighted sums

DOI10.1007/S10986-014-9225-0MaRDI QIDQ2257487zbMATH OpenOpenAlexFDO

Authors Vydas Čekanavičius, A. Elijio

Publication date 25 February 2015

Published in Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1303.0159

zbMATH Keywords

approximationcharacteristic functioncompound Poisson distributionKolmogorov normLévy's concentration functionweighted random variables

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50)

Abstract: The accuracy of compound Poisson approximation to the sum $S=w_1{S}_1+w_2{S}_2+\mathrm{...}+w_N{S}_N$ is estimated. Here $S_i$ are sums of independent or weakly dependent random variables, and $w_i$ denote weights. The overall smoothing effect of $S$ on $w_i{S}_i$ is estimated by L' evy concentration function.

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Cited in

(4)

• On closeness of two discrete weighted sums
• On smoothing properties of compound Poisson distributions
• Compound Poisson approximation
• Compound Poisson approximation to weighted sums of symmetric discrete variables

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