The Annals of Probability

Poisson Approximation for Dependent Trials

Louis H. Y. Chen

Abstract

Let $X_1, \cdots, X_n$ be an arbitrary sequence of dependent Bernoulli random variables with $P(X_i = 1) = 1 - P(X_i = 0) = p_i.$ This paper establishes a general method of obtaining and bounding the error in approximating the distribution of $\sum^n_{i=1} X_i$ by the Poisson distribution. A few approximation theorems are proved under the mixing condition of Ibragimov (1959), (1962). One of them yields, as a special case and with some improvement, an approximation theorem of Le Cam (1960) for the Poisson binomial distribution. The possibility of an asymptotic expansion is also discussed and a refinement in the independent case obtained. The method is similar to that of Charles Stein (1970) in his paper on the normal approximation for dependent random variables.

Article information

Source
Ann. Probab. Volume 3, Number 3 (1975), 534-545.

Dates
First available: 19 April 2007

Permanent link to this document
http://projecteuclid.org/euclid.aop/1176996359

JSTOR
links.jstor.org

Digital Object Identifier
doi:10.1214/aop/1176996359

Mathematical Reviews number (MathSciNet)
MR428387

Zentralblatt MATH identifier
0335.60016

Citation

Chen, Louis H. Y. Poisson Approximation for Dependent Trials. The Annals of Probability 3 (1975), no. 3, 534--545. doi:10.1214/aop/1176996359. http://projecteuclid.org/euclid.aop/1176996359.