Permanent URL to this publication: http://dx.doi.org/10.5167/uzh-21918
Barbour, A D; Månsson, M (2002). Compound Poisson process approximation. The Annals of Probability, 30(3):1492-1537.
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Compound Poisson processes are often useful as approximate models, when describing the occurrence of rare events. In this paper, we develop a method for showing how close such approximations are. Our approach is to use Stein's method directly, rather than by way of declumping and a marked Poisson process; this has conceptual advantages, but entails technical difficulties. Several applications are given to illustrate the procedure.
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|Item Type:||Journal Article, refereed, original work|
|Communities & Collections:||07 Faculty of Science > Institute of Mathematics|
|Dewey Decimal Classification:||510 Mathematics|
|Uncontrolled Keywords:||Extreme values; point processes; compound Poisson process; Stein's method|
|Deposited On:||07 Apr 2010 10:18|
|Last Modified:||23 Nov 2012 14:06|
|Publisher:||Institute of Mathematical Statistics|
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