Quick Search:

uzh logo
Browse by:
bullet
bullet
bullet
bullet

Zurich Open Repository and Archive 

Permanent URL to this publication: http://dx.doi.org/10.5167/uzh-22171

Barbour, A D; Utev, S (1998). Solving the Stein equation in compound Poisson approximation. Advances in Applied Probability, 30(2):449-475.

[img]
Preview
PDF (Preprint)
1MB

Abstract

The accuracy of compound Poisson approximation can be estimated using Stein's method in terms of quantities similar to those which must be calculated for Poisson approximation. However, the solutions of the relevant Stein equation may, in general, grow exponentially fast with the mean number of `clumps', leading to many applications in which the bounds are of little use. In this paper, we introduce a method for circumventing this difficulty. We establish good bounds for those solutions of the Stein equation which are needed to measure the accuracy of approximation with respect to Kolmogorov distance, but only in a restricted range of the argument. The restriction on the range is then compensated by a truncation argument. Examples are given to show that the method clearly outperforms its competitors, as soon as the mean number of clumps is even moderately large.

Item Type:Journal Article, refereed, original work
Communities & Collections:07 Faculty of Science > Institute of Mathematics
DDC:510 Mathematics
Uncontrolled Keywords:Stein's method; compound Poisson; distributional approximation
Language:English
Date:1998
Deposited On:07 Apr 2010 13:55
Last Modified:23 Nov 2012 14:18
Publisher:Applied Probability Trust
ISSN:0001-8678
Publisher DOI:10.1239/aap/1035228078
Citations:Google Scholar™
Scopus®. Citation Count: 17

Users (please log in): suggest update or correction for this item

Repository Staff Only: item control page