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Compound Poisson approximation for triangular arrays with application to threshold estimation


 
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1. Title Title of document Compound Poisson approximation for triangular arrays with application to threshold estimation
 
2. Creator Author's name, affiliation, country Pavel Chigansky; The Hebrew University; Israel
 
2. Creator Author's name, affiliation, country Fima Klebaner; Monash University; Australia
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) compound Poisson; weak convergence; Tikhomirov's method; threshold estimation
 
3. Subject Subject classification 60F05; 62F12; 62M10
 
4. Description 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.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2012-07-17
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/2009
 
10. Identifier Digital Object Identifier 10.1214/ECP.v17-2009
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 17
 
12. Language English=en en
 
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