Compound Poisson process approximation

• 成果类型: Article
• 署名作者: Barbour, AD; Månsson, M
• 署名单位: University of Zurich; Chalmers University of Technology
• 刊物名称: ANNALS OF PROBABILITY
• ISSN/ISSBN: 0091-1798
• 发表日期: 2002
• 页码: 1492-1537
• 关键词: stein method

摘要

Compound Poisson processes are often useful as approximate models, when describing the occurrence of rare events. In this paper, we develop a method for showing how close such approximations are. Our approach is to use Stein's method directly, rather than by way of declumping and a marked Poisson process; this has conceptual advantages, but entails technical difficulties. Several applications are given to illustrate the procedure.