Compound Poisson approximation for triangular arrays with application to threshold estimation
Probability
2012-07-19 v3 Statistics Theory
Statistics Theory
Abstract
We prove weak convergence of 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.
Keywords
Cite
@article{arxiv.1110.5381,
title = {Compound Poisson approximation for triangular arrays with application to threshold estimation},
author = {P. Chigansky and F. C. Klebaner},
journal= {arXiv preprint arXiv:1110.5381},
year = {2012}
}
Comments
11 pages, to appear in Electronic Comm. Prob