Stein's method for conditional compound Poisson approximation

H. L. Gan; A. Xia

doi:10.1016/j.spl.2015.01.033

Stein's method for conditional compound Poisson approximation

H. L. Gan, A. Xia^*

^*Corresponding author for this work

Mathematics

Research output: Contribution to journal › Article › peer-review

5 Scopus citations

Abstract

The occurrence of rare events can often be well described by a compound Poisson distribution. However, one can only start modelling the occurrence of rare events after such events have happened, thus a conditional compound Poisson distribution is more appropriate in applications. In this note, we develop Stein's method for conditional compound Poisson approximation. Several applications are given to demonstrate the advantage of the direct approach of Stein's method.

Original language	English (US)
Pages (from-to)	19-26
Number of pages	8
Journal	Statistics and Probability Letters
Volume	100
DOIs	https://doi.org/10.1016/j.spl.2015.01.033
State	Published - May 1 2015

Keywords

Compound Poisson approximation
Exceedances
Primary
Secondary
Stein's factors
Stein's method

ASJC Scopus subject areas

Statistics and Probability
Statistics, Probability and Uncertainty

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10.1016/j.spl.2015.01.033

Cite this

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title = "Stein's method for conditional compound Poisson approximation",

abstract = "The occurrence of rare events can often be well described by a compound Poisson distribution. However, one can only start modelling the occurrence of rare events after such events have happened, thus a conditional compound Poisson distribution is more appropriate in applications. In this note, we develop Stein's method for conditional compound Poisson approximation. Several applications are given to demonstrate the advantage of the direct approach of Stein's method.",

keywords = "Compound Poisson approximation, Exceedances, Primary, Secondary, Stein's factors, Stein's method",

author = "Gan, {H. L.} and A. Xia",

note = "Publisher Copyright: {\textcopyright} 2015 Elsevier B.V.",

year = "2015",

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doi = "10.1016/j.spl.2015.01.033",

language = "English (US)",

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T1 - Stein's method for conditional compound Poisson approximation

AU - Gan, H. L.

AU - Xia, A.

PY - 2015/5/1

Y1 - 2015/5/1

N2 - The occurrence of rare events can often be well described by a compound Poisson distribution. However, one can only start modelling the occurrence of rare events after such events have happened, thus a conditional compound Poisson distribution is more appropriate in applications. In this note, we develop Stein's method for conditional compound Poisson approximation. Several applications are given to demonstrate the advantage of the direct approach of Stein's method.

AB - The occurrence of rare events can often be well described by a compound Poisson distribution. However, one can only start modelling the occurrence of rare events after such events have happened, thus a conditional compound Poisson distribution is more appropriate in applications. In this note, we develop Stein's method for conditional compound Poisson approximation. Several applications are given to demonstrate the advantage of the direct approach of Stein's method.

KW - Compound Poisson approximation

KW - Exceedances

KW - Primary

KW - Secondary

KW - Stein's factors

KW - Stein's method

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U2 - 10.1016/j.spl.2015.01.033

DO - 10.1016/j.spl.2015.01.033

M3 - Article

AN - SCOPUS:84923101578

SN - 0167-7152

VL - 100

SP - 19

EP - 26

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

ER -

Stein's method for conditional compound Poisson approximation

Abstract

Keywords

ASJC Scopus subject areas

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