Lecture Notes-Monograph Series, Vol. 52, Time Series and Related Topics: In Memory of Ching-Zong Wei (2006), pp. 236-244 (9 pages) This exposition explains the basic ideas of Stein's method for ...
Journal of Applied Probability, Vol. 27, No. 3 (Sep., 1990), pp. 611-621 (11 pages) Let Sn be a sum of independent random variables. For the approximation of Sn by a Poisson random variable Y with the ...
Our news journalists obtained a quote from the research from Harvard University, "The aggregate claim or total claim amount process in [0, t] is represented by the random sum of N independent ...
I will discuss (compound) Poisson process approximation for stabilizing statistics of a stationary strongly mixing point process. The main results are formulated in a Wasserstein distance and are ...
This paper describes a new numerical method, based on Stein’s method and zero bias transformation, of computing collateralized debt obligation (CDO) tranche prices. We propose first-order correction ...
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