Abstract
The occurrence of rare events can often be well described by a compound Poisson distribution. However, one can only start modelling the occurrence of rare events after such events have happened, thus a conditional compound Poisson distribution is more appropriate in applications. In this note, we develop Stein’s method for conditional compound Poisson approximation. Several applications are given to demonstrate the advantage of the direct approach of Stein’s method.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
