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Compound Poisson approximation for nonnegative random variables via Stein's method


Barbour, A D; Chen, L; Loh, W-L (1992). Compound Poisson approximation for nonnegative random variables via Stein's method. The Annals of Probability, 20(4):1843-1866.

Abstract

The aim of this paper is to extend Stein's method to a compound Poisson distribution setting. The compound Poisson distributions of concern here are those of the form POIS$(\nu)$, where $\nu$ is a finite positive measure on $(0, \infty)$. A number of results related to these distributions are established. These in turn are used in a number of examples to give bounds for the error in the compound Poisson approximation to the distribution of a sum of random variables.

Abstract

The aim of this paper is to extend Stein's method to a compound Poisson distribution setting. The compound Poisson distributions of concern here are those of the form POIS$(\nu)$, where $\nu$ is a finite positive measure on $(0, \infty)$. A number of results related to these distributions are established. These in turn are used in a number of examples to give bounds for the error in the compound Poisson approximation to the distribution of a sum of random variables.

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Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:07 Faculty of Science > Institute of Mathematics
Dewey Decimal Classification:510 Mathematics
Uncontrolled Keywords:Stein's method; compound Poisson distribution; total variation distance; rate of convergence
Language:English
Date:1992
Deposited On:13 Apr 2010 11:34
Last Modified:05 Apr 2016 13:28
Publisher:Institute of Mathematical Statistics
ISSN:0091-1798
Publisher DOI:https://doi.org/10.1214/aop/1176989531

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