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

DOI10.1016/J.SPL.2020.108918zbMATH Open1455.60041arXiv2003.12495OpenAlexW3083384547MaRDI QIDQ826656FDOQ826656

Alexander I. Zejfman, V. Yu. Korolev

Publication date: 6 January 2021

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

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.

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

Recommendations

• Estimates for the rate of convergence in the global CLT for compound mixed Poisson distributions
• Natural estimates of the accuracy of approximation of the distributions of random sums by location mixtures of stable laws
• Generalized Hyperbolic Laws as Limit Distributions for Random Sums
• On the rate of convergence in limit theorems for negative-binomial random sums
• On the rates of convergence to symmetric stable laws for distributions of normalized geometric random sums

zbMATH Keywords

convergence ratelaw of large numbersmixed Poisson distributiongeometric random sumPoisson random sumZolotarev \(\zeta \)-metric

Mathematics Subject Classification ID

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

Cites Work

• A Generalization of the Gamma Distribution
• Title not available (Why is that?)
• On a Poisson-inverse Gaussian distribution
• Mixed Poisson Distributions
• Statistical Size Distributions in Economics and Actuarial Sciences
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Doubly stochastic Poisson processes
• An improvement of the Berry–Esseen inequality with applications to Poisson and mixed Poisson random sums
• Title not available (Why is that?)
• On Convergence of Distributions of Compound Cox Processes to Stable Laws
• Simple approximations of ruin probabilities
• Title not available (Why is that?)
• On the normal approximation of a negative binomial random sum
• Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes
• Title not available (Why is that?)
• Title not available (Why is that?)
• A Problem of Zolotarev and Analogs of Infinitely Divisible and Stable Distributions in a Scheme for Summing a Random Number of Random Variables
• Stochastic Models of Structural Plasma Turbulence
• Modern Theory of Summation of Random Variables
• A physical basis for the generalized gamma distribution
• On the accuracy of approximation of the distribution of negative-binomial random sums by the gamma distribution
• The rate of convergence of the distributions of regular statistics constructed from samples with negatively binomially distributed random sizes to the Student distribution
• On an Application of the Student Distribution in the Theory of Probability and Mathematical Statistics
• Error bounds for exponential approximations of geometric convolutions
• Ideal Metrics in the Problem of Approximating Distributions of Sums of Independent Random Variables
• Approximation of Distributions of Sums of Independent Random Variables with Values in Infinite-Dimensional Spaces
• Bounds for geometric sums used for evaluation of reliability of regenerative models
• On the relationship between the generalized Student \(t\)-distribution and the variance gamma distribution in statistical analysis of random-size samples
• Generalized negative binomial distributions as mixed geometric laws and related limit theorems
• On an extremal property of the Poisson process
• Bounds of the accuracy of the normal approximation to the distributions of random sums under relaxed moment conditions
• Weak convergence to the student and Laplace distributions
• Title not available (Why is that?)
• IDEAL METRICS IN THE PROBLEMS OF PROBABILITY THEORY AND MATHEMATICAL STATISTICS
• An optimal Berry-Esseen type theorem for integrals of smooth functions

Cited In (3)

• Convergence and inference for mixed Poisson random sums
• Convergence rates in the limit theorems for random sums of \(m\)-orthogonal random variables
• Structural improvements of nonuniform convergence rate estimates in the central limit theorem with applications to Poisson random sums

This page was built for publication: Bounds for convergence rate in laws of large numbers for mixed Poisson random sums

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q826656)