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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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Abstract

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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14 citations in Web of Science®
10 citations in Scopus®
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Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:07 Faculty of Science > Institute of Mathematics
DDC:510 Mathematics
Uncontrolled Keywords:Extreme values; point processes; compound Poisson process; Stein's method
Language:English
Date:2002
Deposited On:07 Apr 2010 10:18
Last Modified:23 Nov 2012 14:06
Publisher:Institute of Mathematical Statistics
ISSN:0091-1798
Publisher DOI:10.1214/aop/1029867135

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