相关论文: Poisson process approximation: From Palm theory to…
We present a process-level Poisson-approximation result for the degree-k vertices in a high-density weighted random connection model with preferential-attachment kernel in the unit volume. Our main focus lies on the impact of the left tails…
The concentration inequality approach for normal approximation by Stein's method is generalized to the multivariate setting. We use this approach to prove a non-smooth function distance for multivariate normal approximation for standardized…
Poisson processes and one-dimensional Poisson point processes satisfy three main properties: superposition, thinning, and conditioning. The proof of the first two relies on basic estimates involving the Poisson distribution that are also…
A number of numeric approaches to simulate Poisson point processes with arbitrary event rates are presented and implemented for R. They include the simulation of the number of points and their location as well as the determination of…
Multivariate Poisson processes have many important applications in Insurance, Finance, and many other areas of Applied Probability. In this paper we study the backward simulation approach to modelling multivariate Poisson processes and…
In this article, we primarily propose a novel Bayesian characterization of stationary and nonstationary stochastic processes. In practice, this theory aims to distinguish between global stationarity and nonstationarity for both parametric…
We generate the fractional Poisson process by subordinating the standard Poisson process to the inverse stable subordinator. Our analysis is based on application of the Laplace transform with respect to both arguments of the evolving…
In this article, we present the theoretical basis for an approach to Stein's method for probability distributions on Riemannian manifolds. Using a semigroup representation for the solution to the Stein equation, we use tools from stochastic…
Many spatial models exhibit locality structures that effectively reduce their intrinsic dimensionality, enabling efficient approximation and sampling of high-dimensional distributions. However, existing approximation techniques primarily…
This paper studies theory and inference of an observation-driven model for time series of counts. It is assumed that the observations follow a Poisson distribution conditioned on an accompanying intensity process, which is equipped with a…
Let $S_{n}$ be a sum of independent identically distribution random variables with finite first moment and $h_{M}$ be a call function defined by $g_{M}(x)=\max\{x-M,0\}$ for $x\in\mathbb{R}$, $M>0$. In this paper, we assume the random…
We obtain Stein approximation bounds for stochastic integrals with respect to a Poisson random measure over ${\Bbb R}^d$, $d\geq 2$. This approach relies on third cumulant Edgeworth-type expansions based on derivation operators defined by…
We provide an overview of some recent techniques involving the Malliavin calculus of variations and the so-called ``Stein's method'' for the Gaussian approximations of probability distributions. Special attention is devoted to establishing…
Stein operators are differential operators which arise within the so-called Stein's method for stochastic approximation. We propose a new mechanism for constructing such operators for arbitrary (continuous or discrete) parametric…
We provide a general steady-state diffusion approximation result which bounds the Wasserstein distance between the reversible measure $\mu$ of a diffusion process and the measure $\nu$ of an approximating Markov chain. Our result is…
Two new information-theoretic methods are introduced for establishing Poisson approximation inequalities. First, using only elementary information-theoretic techniques it is shown that, when $S_n=\sum_{i=1}^nX_i$ is the sum of the (possibly…
The last decade has seen max-stable processes emerge as a common tool for the statistical modeling of spatial extremes. However, their application is complicated due to the unavailability of the multivariate density function, and so…
We establish various bounds on the solutions to a Stein equation for Poisson approximation in Wasserstein distance with non-linear transportation costs. The proofs are a refinement of those in [Barbour and Xia (2006)] using the results in…
A determinantal point process is a stochastic point process that is commonly used to capture negative correlations. It has become increasingly popular in machine learning in recent years. Sampling a determinantal point process however…
We consider additive functionals of systems of random measures whose initial configuration is given by a Poisson point process, and whose individual components evolve according to arbitrary Markovian or non-Markovian measure valued…