Compound Poisson approximation for triangular arrays with application to threshold estimation

DOI10.1214/ECP.V17-2009MaRDI QIDQ456255zbMATH OpenWikidataFDO

Authors Pavel Chigansky, Fima Klebaner

Publication date 23 October 2012

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1110.5381

zbMATH Keywords

compound Poisson approximationthreshold estimationTikhomirov's methodweak convergence

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: We prove weak convergence of triangular arrays to the compound Poisson limit using Tikhomirov's method. The result is applied to statistical estimation of the threshold parameter in autoregressive models.

Review text

Let \(\left\{Y_{n,j},\;j=1,2,\dotsc,n,\;n=1,2,\dots\right\}\) be triangular array of random variables, whose rows are asymptotically negligible and satisfy some weak dependence condition. Using the Tikhomirov method, the authors obtain compound Poisson approximation for the sums \(S_{n}=\sum_{j=1}^{n}Y_{n,j}\). Moreover, they derive bounds on the Levy distance between the distributions function of the sums S\(_{n}\) and the compound Poisson distribution. The results are applied to threshold estimation in autoregressive models.

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Cited in

(1)

• Stein's method and characteristic functions

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