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Compound Poisson approximation for triangular arrays with application to threshold estimation

   
@article{ECP2009,
	author = {Pavel Chigansky and Fima Klebaner},
	title = {Compound Poisson approximation for triangular arrays with  application to threshold estimation},
	journal = {Electron. Commun. Probab.},
	fjournal = {Electronic Communications in Probability},
	volume = {17},
	year = {2012},
	keywords = {compound Poisson; weak convergence; Tikhomirov's method; threshold estimation},
	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.
},
	pages = {no. 29, 1-10},
	issn = {1083-589X},
	doi = {10.1214/ECP.v17-2009},    
        url = {http://ecp.ejpecp.org/article/view/2009}}