I am using a Gaussian distribution to generate a Poisson variable with parameter $\lambda$. According to Wikipedia, when $\lambda > 1000$ this approximation is pretty good. However, using MATLAB I noticed that even when $\lambda = 400$ Gaussian and Poisson distributions seem to be almost identical.
What do you think would be the minimum value of $\lambda$ to guarantee that the two distributions are close enough?
Gaussian approximation of Poisson distribution
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statistics
probability-distributions
normal-distribution
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0I do not have any specific definition of closeness per se, but the value given on wikipedia has no justification either. I am simply looking for something that makes sense. – 2011-05-11
1 Answers
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See this, in particular the section "General bound on error".
The article was written by user John D. Cook.