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July 2002 Compound Poisson process approximation
A. D. Barbour, Marianne Månsson
Ann. Probab. 30(3): 1492-1537 (July 2002). DOI: 10.1214/aop/1029867135

Abstract

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.

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A. D. Barbour. Marianne Månsson. "Compound Poisson process approximation." Ann. Probab. 30 (3) 1492 - 1537, July 2002. https://doi.org/10.1214/aop/1029867135

Information

Published: July 2002
First available in Project Euclid: 20 August 2002

zbMATH: 1033.60059
MathSciNet: MR1920275
Digital Object Identifier: 10.1214/aop/1029867135

Subjects:
Primary: 60G55 , 62E17
Secondary: 60F05

Keywords: compound Poisson process , Extreme values , Point processes , Stein's method

Rights: Copyright © 2002 Institute of Mathematical Statistics

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Vol.30 • No. 3 • July 2002
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