Compound Poisson approximation for triangular arrays with application to threshold estimation

Pavel Chigansky, Fima C Klebaner

Research output: Contribution to journalArticleResearchpeer-review

Abstract

We prove weak convergence of sums over 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.
Original languageEnglish
Pages (from-to)1 - 10
Number of pages10
JournalElectronic Communications in Probability
Volume17
DOIs
Publication statusPublished - 2012

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