A New Look at the Compound Poisson Distribution and Compound Poisson Approximation using Entropy

We develop an information-theoretic foundation for compound Poisson approximation and limit theorems (analogous to the corresponding developments for the central limit theorem and for simple Poisson approximation). First, su?cient conditions are given under which the compound Poisson distribution has maximal entropy within a natural class of probability measures on the nonnegative integers. In particular, it is shown that a maximum entropy property is valid if the measures under consideration are log-concave, but that it fails in general. Second, approximation bounds in the (strong) relative entropy sense are given for distributional approximation of sums of independent nonnegative integer valued random variables by compound Poisson distributions. The proof techniques involve the use of a notion of local information quantities that generalize the classical Fisher information used for normal approximation, as well as the use of ingredients from Stein’s method for compound Poisson approximation. This work is joint with Andrew Barbour (Zurich), Oliver Johnson (Bristol) and Ioannis Kontoyiannis (AUEB).