Compound Poisson approximation for triangular arrays with application to threshold estimation

Pavel Chigansky; Fima C. Klebaner

doi:10.1214/ECP.v17-2009

Compound Poisson approximation for triangular arrays with application to threshold estimation

Pavel Chigansky, Fima C. Klebaner

Department of Statistics

The Hebrew University of Jerusalem

Research output: Contribution to journal › Article › peer-review

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.

Original language	English
Journal	Electronic Communications in Probability
Volume	17
DOIs	https://doi.org/10.1214/ECP.v17-2009
State	Published - 2012

Keywords

Compound Poisson
Threshold estimation
Tikhomirov's method
Weak convergence

All Science Journal Classification (ASJC) codes

Statistics and Probability
Statistics, Probability and Uncertainty

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10.1214/ECP.v17-2009

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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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year = "2012",

doi = "10.1214/ECP.v17-2009",

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volume = "17",

journal = "Electronic Communications in Probability",

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AU - Klebaner, Fima C.

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AB - 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.

KW - Compound Poisson

KW - Threshold estimation

KW - Tikhomirov's method

KW - Weak convergence

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DO - 10.1214/ECP.v17-2009

M3 - مقالة

SN - 1083-589X

VL - 17

JO - Electronic Communications in Probability

JF - Electronic Communications in Probability

ER -

Compound Poisson approximation for triangular arrays with application to threshold estimation

Abstract

Keywords

All Science Journal Classification (ASJC) codes

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