Compound Poisson approximation for triangular arrays with application to threshold estimation

DOI10.1214/ECP.V17-2009zbMATH Open1259.60027arXiv1110.5381WikidataQ57712746 ScholiaQ57712746MaRDI QIDQ456255FDOQ456255

Authors: Pavel Chigansky, Fima Klebaner 

Publication date: 23 October 2012

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

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.

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

Recommendations

• Compound Poisson approximation for extremes of moving minima in arrays of independent random variables
• Compound Poisson approximation for nonnegative random variables via Stein's method
• Compound Poisson approximation
• Compound Poisson approximation theorem
• Asymptotic expansions in the compound Poisson limit theorem

zbMATH Keywords

weak convergencethreshold estimationcompound Poisson approximationTikhomirov's method

Mathematics Subject Classification ID

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

This page was built for publication: Compound Poisson approximation for triangular arrays with application to threshold estimation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q456255)