Compound Poisson approximation for triangular arrays with application to threshold estimation

Pavel Chigansky, Fima Klebaner
2012 Electronic Communications in Probability  
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.
doi:10.1214/ecp.v17-2009 fatcat:sipnusyv7jerzfs7gxvvn6yx5q