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.
Citation
A. D. Barbour. Louis H. Y. Chen. Wei-Liem Loh. "Compound Poisson Approximation for Nonnegative Random Variables Via Stein's Method." Ann. Probab. 20 (4) 1843 - 1866, October, 1992. https://doi.org/10.1214/aop/1176989531
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