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arXiv · 1110.5381

Compound Poisson approximation for triangular arrays with application to threshold estimation

P. Chigansky·F. C. Klebaner
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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.

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BibTeXRIS

P. Chigansky, F. C. Klebaner. 2012-07-17. Compound Poisson approximation for triangular arrays with application to threshold estimation. https://doi.org/10.1214/ecp.v17-2009

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