DOAJ Open Access 2024

Bounds on Negative Binomial Approximation to Call Function

Amit N. Kumar

Abstrak

In this paper, we develop Stein's method for negative binomial distribution using call function defined by fz(k) = (k - z)+ = max{k - z, 0}, for k ≥ 0 and z ≥ 0. We obtain error bounds between E [ fz(Nr,p)] and E [ fz(V )], where Nr,p follows negative binomial distribution and V is the sum of locally dependent random variables, using certain conditions on moments. We demonstrate our results through an interesting application, namely, collateralized debt obligation (CDO), and compare the bounds with the existing bounds.

Topik & Kata Kunci

Statistics Probabilities. Mathematical statistics

Penulis (1)

Amit N. Kumar

Format Sitasi

APA MLA BibTeX

Kumar, A.N. (2024). Bounds on Negative Binomial Approximation to Call Function. https://doi.org/10.57805/revstat.v22i1.437

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Informasi Jurnal

Tahun Terbit: 2024
Sumber Database: DOAJ
DOI: 10.57805/revstat.v22i1.437
Akses: Open Access ✓