Nonuniform bounds in the Poisson approximation with applications to informational distances. II
Sign Up to like & getrecommendations! Published in 2019 at "Lithuanian Mathematical Journal"
DOI: 10.1007/s10986-019-09468-3
Abstract: We explore asymptotically optimal bounds for deviations of Bernoulli convolutions from the Poisson limit in terms of the Shannon relative entropy and the Pearson $\chi^2$-distance. The results are based on proper non-uniform estimates for densities.… read more here.
Keywords: bounds poisson; nonuniform bounds; applications informational; informational distances ... See more keywords
Poisson Approximation for Call Function via Stein–Chen Method
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DOI: 10.1007/s40840-019-00729-5
Abstract: Let V be a sums of independent nonnegative integer-valued random variables and $$h_z$$ h z be a call function defined by $$h_{z}(v)=(v-z)^+$$ h z ( v ) = ( v - z ) + for… read more here.
Keywords: finance; stein chen; call function; chen method ... See more keywords
Inhomogeneous random graphs, isolated vertices, and Poisson approximation
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DOI: 10.1017/jpr.2018.9
Abstract: Abstract Consider a graph on randomly scattered points in an arbitrary space, with any two points x, y connected with probability ϕ(x, y). Suppose the number of points is large but the mean number of… read more here.
Keywords: random graphs; number; graphs isolated; inhomogeneous random ... See more keywords
Poisson approximation for locally dependent CDO
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DOI: 10.1080/03610926.2020.1759638
Abstract: Abstract A collateralized debt obligation (CDO) is a type of structured asset-backed security. The assets are pooled together and divided into tranches to be sold to investors. Each tranche has a substantially different credit quality… read more here.
Keywords: poisson approximation; cdo; locally dependent; approximation locally ... See more keywords
Non-Uniform Bounds in the Poisson Approximation With Applications to Informational Distances I
Sign Up to like & getrecommendations! Published in 2019 at "IEEE Transactions on Information Theory"
DOI: 10.1109/tit.2019.2913313
Abstract: We explore asymptotically optimal bounds for deviations of Bernoulli convolutions from the Poisson limit in terms of the Shannon relative entropy and the Pearson $\chi ^{2}$ -distance. The results are based on proper non-uniform estimates… read more here.
Keywords: approximation applications; poisson approximation; uniform bounds; applications informational ... See more keywords