scholarly journals Some estimates of the normal approximation for mixture of Poisson and gamma random variables

2010 ◽  
Vol 51 ◽  
Author(s):  
Jonas Kazys Sunklodas
Keyword(s):  
Poisson Distribution ◽  
Gamma Distribution ◽  
Upper Bound ◽  
Normal Approximation ◽  
Random Variables ◽  
Random Variable ◽  
Lp Norms

In the paper, we present the upper bound of Lp norms ∆p of the order (a1 + a2)/(DZ)-1/2 for all 1 < p< ∞, of the normal approximation for a standardized random variable (Z - EZ)/√DZ, where the random variable Z = a1X + a2Y , a1 + a2 = 1, ai > 0, i = 1, 2, the random variable X is distributed by the Poisson distribution with the parameter λ > 0, and the random variable Y by the standard gamma distribution Γ (α, 0, 1) with the parameter α > 0.

A Note on the Accuracy of Normal Approximation of Random Quantities

2021 ◽  
Vol 73 (1) ◽  
pp. 62-67
Author(s):  
Ibrahim A. Ahmad ◽  
A. R. Mugdadi
Keyword(s):  
Sample Size ◽  
Order Statistic ◽  
Normal Approximation ◽  
Order Approximation ◽  
Random Variables ◽  
Random Variable ◽  
Limiting Distribution ◽  
Exact Order ◽  
Fixed Sample ◽  
Independent Identically Distributed

For a sequence of independent, identically distributed random variable (iid rv's) [Formula: see text] and a sequence of integer-valued random variables [Formula: see text], define the random quantiles as [Formula: see text], where [Formula: see text] denote the largest integer less than or equal to [Formula: see text], and [Formula: see text] the [Formula: see text]th order statistic in a sample [Formula: see text] and [Formula: see text]. In this note, the limiting distribution and its exact order approximation are obtained for [Formula: see text]. The limiting distribution result we obtain extends the work of several including Wretman[Formula: see text]. The exact order of normal approximation generalizes the fixed sample size results of Reiss[Formula: see text]. AMS 2000 subject classification: 60F12; 60F05; 62G30.

Poisson approximation for a sum of dependent indicators: an alternative approach

2002 ◽  
Vol 34 (03) ◽  
pp. 609-625 ◽  
Author(s):  
N. Papadatos ◽  
V. Papathanasiou
Keyword(s):  
Total Variation ◽  
Upper Bound ◽  
Random Variables ◽  
Random Variable ◽  
Poisson Approximation ◽  
Total Variation Distance ◽  
Poisson Random Variable ◽  
Birthday Problem ◽  
Alternative Approach ◽  
Variation Distance

The random variablesX1,X2, …,Xnare said to be totally negatively dependent (TND) if and only if the random variablesXiand ∑j≠iXjare negatively quadrant dependent for alli. Our main result provides, for TND 0-1 indicatorsX1,x2, …,Xnwith P[Xi= 1] =pi= 1 - P[Xi= 0], an upper bound for the total variation distance between ∑ni=1Xiand a Poisson random variable with mean λ ≥ ∑ni=1pi. An application to a generalized birthday problem is considered and, moreover, some related results concerning the existence of monotone couplings are discussed.

scholarly journals A refinement of normal approximation to Poisson binomial

2005 ◽  
Vol 2005 (5) ◽  
pp. 717-728 ◽  
Author(s):  
K. Neammanee
Keyword(s):  
Normal Distribution ◽  
Normal Approximation ◽  
Random Variables ◽  
Random Variable ◽  
Standard Normal Distribution ◽  
Bernoulli Random Variables ◽  
Binomial Random Variable ◽  
Standard Normal ◽  
Correction Terms ◽  
Better Than

LetX1,X2,…,Xnbe independent Bernoulli random variables withP(Xj=1)=1−P(Xj=0)=pjand letSn:=X1+X2+⋯+Xn.Snis called a Poisson binomial random variable and it is well known that the distribution of a Poisson binomial random variable can be approximated by the standard normal distribution. In this paper, we use Taylor's formula to improve the approximation by adding some correction terms. Our result is better than before and is of order1/nin the casep1=p2=⋯=pn.

Poisson approximation for a sum of dependent indicators: an alternative approach

2002 ◽  
Vol 34 (3) ◽  
pp. 609-625 ◽  
Author(s):  
N. Papadatos ◽  
V. Papathanasiou
Keyword(s):  
Total Variation ◽  
Upper Bound ◽  
Random Variables ◽  
Random Variable ◽  
Poisson Approximation ◽  
Total Variation Distance ◽  
Poisson Random Variable ◽  
Birthday Problem ◽  
Alternative Approach ◽  
Variation Distance

The random variables X1, X2, …, Xn are said to be totally negatively dependent (TND) if and only if the random variables Xi and ∑j≠iXj are negatively quadrant dependent for all i. Our main result provides, for TND 0-1 indicators X1, x2, …, Xn with P[Xi = 1] = pi = 1 - P[Xi = 0], an upper bound for the total variation distance between ∑ni=1Xi and a Poisson random variable with mean λ ≥ ∑ni=1pi. An application to a generalized birthday problem is considered and, moreover, some related results concerning the existence of monotone couplings are discussed.

scholarly journals On the rate of convergence of Lp norms in the CLT for Poisson random sum

2009 ◽  
Vol 50 ◽  
Author(s):  
Jonas Kazys Sunklodas
Keyword(s):  
Central Limit Theorem ◽  
Limit Theorem ◽  
Rate Of Convergence ◽  
Upper Bound ◽  
Random Variable ◽  
Random Sum ◽  
Lp Norm ◽  
Lp Norms ◽  
The Central Limit Theorem ◽  
Independent Identically Distributed

In the paper, we present the upper bound of Lp norm \deltaλ,p of the order λ-δ/2 for all 1 \leq  p \leq ∞,  in the central limit theorem for a standardized random sum (SNλ - ESNλ)/DSNλ , where SNλ = X1 + ··· + XNλ is the random sum of independent identically distributed random variables X, X1, X2, . . . with  β2+δ = E|X|2+δ < ∞ where 0 < δ \leq 1, Nλ is a random variable distributed by the Poisson distribution with the parameter λ > 0, and Nλ is independent of X1, X2, . . ..

scholarly journals Theorems on large deviations for the sum of random number of summands

2010 ◽  
Vol 51 ◽  
Author(s):  
Aurelija Kasparavičiūtė ◽  
Leonas Saulis
Keyword(s):  
Large Deviations ◽  
Rate Of Convergence ◽  
Random Number ◽  
Normal Approximation ◽  
Random Variables ◽  
Random Variable ◽  
Compound Process ◽  
Independent Identically Distributed

In this paper, we present the rate of convergence of normal approximation and the theorem on large deviations for a compound process Zt = \sumNt i=1 t aiXi, where Z0 = 0 and ai > 0, of weighted independent identically distributed random variables Xi, i = 1, 2, . . . with  mean EXi = µ and variance DXi = σ2 > 0. It is assumed that Nt is a non-negative integervalued random variable, which depends on t > 0 and is independent of Xi, i = 1, 2, . . . .

scholarly journals Normal approximation for sum of random number of summands

2021 ◽  
Vol 47 ◽  
Author(s):  
Leonas Saulis ◽  
Dovilė Deltuvienė
Keyword(s):  
Large Deviations ◽  
Random Number ◽  
Normal Approximation ◽  
Random Variables ◽  
Random Variable ◽  
Negative Integer

Normal aproximationof sum Zt =ΣNti=1Xi of i.i.d. random variables (r.v.) Xi , i = 1, 2, . . . with mean EXi = μ and variance DXi = σ2 > 0 is analyzed taking into consideration large deviations. Here Nt is non-negative integer-valued random variable, which depends on t , but not depends at Xi , i = 1, 2, . . ..

scholarly journals Relaxation of monotone coupling conditions: Poisson approximation and beyond

2018 ◽  
Vol 55 (3) ◽  
pp. 742-759
Author(s):  
Fraser Daly ◽  
Oliver Johnson
Keyword(s):  
Random Sampling ◽  
Normal Approximation ◽  
Random Variables ◽  
Random Variable ◽  
Poisson Approximation ◽  
Approximation Result ◽  
Associated Random Variables ◽  
Monotonicity Conditions ◽  
Approximate Version ◽  
Monotone Coupling

Abstract It is well known that assumptions of monotonicity in size-bias couplings may be used to prove simple, yet powerful, Poisson approximation results. Here we show how these assumptions may be relaxed, establishing explicit Poisson approximation bounds (depending on the first two moments only) for random variables which satisfy an approximate version of these monotonicity conditions. These are shown to be effective for models where an underlying random variable of interest is contaminated with noise. We also state explicit Poisson approximation bounds for sums of associated or negatively associated random variables. Applications are given to epidemic models, extremes, and random sampling. Finally, we also show how similar techniques may be used to relax the assumptions needed in a Poincaré inequality and in a normal approximation result.

scholarly journals The discount version of large deviations for a randomly indexed sum of random variables

2011 ◽  
Vol 52 ◽  
pp. 369-374
Author(s):  
Aurelija Kasparavičiūtė ◽  
Leonas Saulis
Keyword(s):  
Large Deviations ◽  
Normal Approximation ◽  
Random Variables ◽  
Random Variable ◽  
Negative Integer ◽  
Exponential Inequalities ◽  
Sum Of Random Variables ◽  
Independent Identically Distributed

In this paper, we consider a compound random variable Z = \sum^N_{j=1} vjXj , where 0 < v < 1, Z = 0, if N = 0. It is assumed that independent identically distributed random variables X1,X2, . . . with mean EX = μ and variance DX =σ2 > 0 are independent of a non-negative integer-valued random variable N. It should be noted that, in this scheme of summation, we must consider two cases: μ\neq 0 and μ = 0. The paper is designatedto the research of the upper estimates of normal approximation to the sum ˜ Z = (Z −EZ)(DZ)−1/2, theorems on large deviations in the Cramer and power Linnik zones and exponential inequalities for P( ˜ Z > x).    

scholarly journals Large deviations for weighted random sums

2013 ◽  
Vol 18 (2) ◽  
pp. 129-142 ◽  
Author(s):  
Aurelija Kasparavičiūtė ◽  
Leonas Saulis
Keyword(s):  
Large Deviations ◽  
Normal Approximation ◽  
Random Variables ◽  
Main Idea ◽  
Random Variable ◽  
Tail Probability ◽  
Random Sums ◽  
Exponential Inequalities ◽  
The Difference ◽  
Independent Identically Distributed

In the present paper we consider weighted random sums ZN = ∑j=1NajXj, where 0 ≤ aj < ∞, N denotes a non-negative integer-valued random variable, and {X, Xj , j = 1, 2,...} is a family of independent identically distributed random variables with mean EX = µ and variance DX = σ2 > 0. Throughout this paper N is independent of {X, Xj , j = 1, 2,...} and, for definiteness, it is assumed Z0 = 0. The main idea of the paper is to present results on theorems of large deviations both in the Cramér and power Linnik zones for a sum ~ZN = (ZN − EZN )(DZN )−1/2 , exponential inequalities for a tail probability P(~ZN > x) in two cases: µ = 0 and µ ≠ 0 pointing out the difference between them. Only normal approximation is considered. It should be noted that large deviations when µ ≠ 0 have been already considered in our papers [1,2].

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