Compound Poisson approximation to weighted sums of symmetric discrete variables

A. Elijio () and V. Čekanavičius ()

Annals of the Institute of Statistical Mathematics, 2015, vol. 67, issue 1, 195-210

Abstract: The weighted sum $$S=w_1S_1+w_2S_2+\cdots +w_NS_N$$ S = w 1 S 1 + w 2 S 2 + ⋯ + w N S N is approximated by compound Poisson distribution. Here $$S_i$$ S i are sums of symmetric independent identically distributed discrete random variables, and $$w_i$$ w i denote weights. The estimates take into account the smoothing effect that sums $$S_i$$ S i have on each other. Copyright The Institute of Statistical Mathematics, Tokyo 2015

Keywords: Concentration function; Compound Poisson distribution; Kolmogorov norm; Weighted random variables (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1007/s10463-013-0445-6

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