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Two Moments Suffice for Poisson Approximations: The Chen-Stein Method

R. Arratia, L. Goldstein and L. Gordon
The Annals of Probability
Vol. 17, No. 1 (Jan., 1989), pp. 9-25
Stable URL: http://www.jstor.org/stable/2244193
Page Count: 17
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Two Moments Suffice for Poisson Approximations: The Chen-Stein Method
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Abstract

Convergence to the Poisson distribution, for the number of occurrences of dependent events, can often be established by computing only first and second moments, but not higher ones. This remarkable result is due to Chen (1975). The method also provides an upper bound on the total variation distance to the Poisson distribution, and succeeds in cases where third and higher moments blow up. This paper presents Chen's results in a form that is easy to use and gives a multivariable extension, which gives an upper bound on the total variation distance between a sequence of dependent indicator functions and a Poisson process with the same intensity. A corollary of this is an upper bound on the total variation distance between a sequence of dependent indicator variables and the process having the same marginals but independent coordinates.

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