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Compound Poisson approximation for triangular arrays with application to threshold estimation

Published 24 Oct 2011 in math.PR, math.ST, and stat.TH | (1110.5381v3)

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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Authors (2)

  1. P. Chigansky 
  2. F. C. Klebaner 

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