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

DOI10.3150/09-BEJ201zbMATH Open1266.60039arXiv1010.1625OpenAlexW3100253441MaRDI QIDQ453260FDOQ453260

Authors: Michael V. Boutsikas, Eutichia Vaggelatou 

Publication date: 19 September 2012

Published in: Bernoulli (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1010.1625

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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)

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Cited In (9)

• The Kolmogorov distance between the binomial and Poisson laws: efficient algorithms and sharp estimates
• Compound Poisson approximation
• Penultimate gamma approximation in the CLT for skewed distributions
• 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
• Stein's method for compound Poisson approximation: The local approach
• Bounds for the Distance Between the Distributions of Sums of Absolutely Continuous i.i.d. Convex-Ordered Random Variables with Applications
• Poisson approximation of the mixed Poisson distribution with infinitely divisible mixing law
• Asymptotically optimal Berry-Esseen-type bounds for distributions with an absolutely continuous part

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