Permanent URL to this publication: http://dx.doi.org/10.5167/uzh-21992
Barbour, A D; Chryssaphinou, O (2001). Compound Poisson approximation: a user's guide. Annals of Applied Probability, 11(3):964-1002.
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Compound Poisson approximation is a useful tool in a variety of applications, including insurance mathematics, reliability theory, and molecu- lar sequence analysis. In this paper, we review the ways in which Stein’s method can currently be used to derive bounds on the error in such approximations. The theoretical basis for the construction of error bounds is systematically discussed, and a number of specific examples are used for illustration.We give no numerical comparisons in this paper, contenting ourselves with references to the literature, where compound Poisson approximations derived using Stein’s method are shown frequently to improve upon bounds obtained from problem specific, ad hoc methods.
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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:||Compound Poisson; Stein's method; total variation distance; Kolmogorov distance|
|Deposited On:||07 Apr 2010 11:46|
|Last Modified:||23 Nov 2012 13:26|
|Publisher:||Institute of Mathematical Statistics|
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