Abstract
Compound Poisson processes are often useful as approximate models, when describing the occurrence of rare events. In this paper, we develop a method for showing how close such approximations are. Our approach is to use Stein's method directly, rather than by way of declumping and a marked Poisson process; this has conceptual advantages, but entails technical difficulties. Several applications are given to illustrate the procedure.
Citation
A. D. Barbour. Marianne Månsson. "Compound Poisson process approximation." Ann. Probab. 30 (3) 1492 - 1537, July 2002. https://doi.org/10.1214/aop/1029867135
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