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2012 Compound Poisson approximation for triangular arrays with application to threshold estimation
Pavel Chigansky, Fima Klebaner
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Electron. Commun. Probab. 17: 1-10 (2012). DOI: 10.1214/ECP.v17-2009

Abstract

We prove weak convergence of sums over triangular arrays to the compound Poisson limit using Tikhomirov's method. The result is applied to statistical estimation of the threshold parameter in autoregressive models.

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Pavel Chigansky. Fima Klebaner. "Compound Poisson approximation for triangular arrays with application to threshold estimation." Electron. Commun. Probab. 17 1 - 10, 2012. https://doi.org/10.1214/ECP.v17-2009

Information

Accepted: 17 July 2012; Published: 2012
First available in Project Euclid: 7 June 2016

zbMATH: 1259.60027
MathSciNet: MR2955494
Digital Object Identifier: 10.1214/ECP.v17-2009

Subjects:
Primary: 60F05
Secondary: 62F12, 62M10

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