






















Subordinators are infinitely divisible distributions on the positive half-line. They are often used as mixing distributions in Poisson mixtures. We show that appropriately scaled Poisson mixtures can approximate the mixing subordinator and we derive a rate of convergence in $L^p$ for each $p\in[1,\infty]$. This includes the Kolmogorov and Wasserstein metrics as special cases. As an application, we develop an approach for approximate simulation of the underlying subordinator. In the interest of generality, we present our results in the context of more general mixtures, specifically those that can be represented as differences of randomly stopped Lévy processes. Particular focus is given to the case where the subordinator belongs to the class of tempered stable distributions.
此内容由惯性聚合(RSS阅读器)自动聚合整理,仅供阅读参考。 原文来自 — 版权归原作者所有。