Stein's method for conditional compound Poisson approximation

H. L. Gan, A. Xia*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

4 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 languageEnglish (US)
Pages (from-to)19-26
Number of pages8
JournalStatistics and Probability Letters
Volume100
DOIs
StatePublished - 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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