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

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)

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.

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