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.
Citation
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
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