A new method for obtaining sharp compound Poisson approximation error estimates for sums of locally dependent random variables

DOI10.3150/09-BEJ201MaRDI QIDQ453260zbMATH OpenOpenAlexFDO

Authors Michael V. Boutsikas, Eutichia Vaggelatou

Publication date 19 September 2012

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1010.1625, https://projecteuclid.org/euclid.bj/1274821072

zbMATH Keywords

convergence ratetotal variation distance\(k\)-dependenceideal metricPoisson (compound) approximationsums of independent integer-valued random variables

Mathematics Subject Classification ID

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

Abstract: Let $X_1,X_2,\mathrm{...},X_n$ be a sequence of independent or locally dependent random variables taking values in $mathbb{Z}_{+}$. In this paper, we derive sharp bounds, via a new probabilistic method, for the total variation distance between the distribution of the sum $su{m}_{i=1}^n{X}_i$ and an appropriate Poisson or compound Poisson distribution. These bounds include a factor which depends on the smoothness of the approximating Poisson or compound Poisson distribution. This "smoothness factor" is of order $mathrmO(sigm{a}^{-2})$, according to a heuristic argument, where $sigm{a}^2$ denotes the variance of the approximating distribution. In this way, we offer sharp error estimates for a large range of values of the parameters. Finally, specific examples concerning appearances of rare runs in sequences of Bernoulli trials are presented by way of illustration.

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Cited in

(9)

• Asymptotically optimal Berry-Esseen-type bounds for distributions with an absolutely continuous part
• Penultimate gamma approximation in the CLT for skewed distributions
• Bounds for the Distance Between the Distributions of Sums of Absolutely Continuous i.i.d. Convex-Ordered Random Variables with Applications
• A new method for bounding the distance between sums of independent integer-valued random variables
• Compound Poisson process approximation for locally dependent real-valued random variables via a new coupling inequality
• Poisson approximation of the mixed Poisson distribution with infinitely divisible mixing law
• The Kolmogorov distance between the binomial and Poisson laws: efficient algorithms and sharp estimates
• Stein's method for compound Poisson approximation: The local approach
• Compound Poisson approximation

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