Bounds for convergence rate in laws of large numbers for mixed Poisson random sums

DOI10.1016/J.SPL.2020.108918MaRDI QIDQ826656zbMATH OpenOpenAlexFDO

Authors V. Yu. Korolev, Alexander I. Zejfman

Publication date 6 January 2021

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2003.12495

zbMATH Keywords

convergence rategeometric random sumlaw of large numbersmixed Poisson distributionPoisson random sumZolotarev \(\zeta \)-metric

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Asymptotic distribution theory in statistics (62E20) Order statistics; empirical distribution functions (62G30)

Abstract: In the paper, upper bounds for the rate of convergence in laws of large numbers for mixed Poisson random sums are constructed. As a measure of the distance between the limit and pre-limit laws, the Zolotarev $zeta$-metric is used. The obtained results extend the known convergence rate estimates for geometric random sums (in the famous R{'e}nyi theorem) to a considerably wider class of random indices with mixed Poisson distributions including, e. g., those with the (generalized) negative binomial distribution.

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Cited in

(5)

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• Estimates for the rate of convergence in the global CLT for compound mixed Poisson distributions
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