An algebra of Stein operators
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Abstract: We build upon recent advances on the distributional aspect of Stein's method to propose a novel and flexible technique for computing Stein operators for random variables that can be written as products of independent random variables. We show that our results are valid for a wide class of distributions including normal, beta, variance-gamma, generalized gamma and many more. Our operators are th degree differential operators with polynomial coefficients; they are straightforward to obtain even when the target density bears no explicit handle. As an application, we derive a new formula for the density of the product of independent symmetric variance-gamma distributed random variables.
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Cited in
(20)- Stein operators for variables form the third and fourth Wiener chaoses
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- Some new Stein operators for product distributions
- On Stein's method for products of normal random variables and zero bias couplings
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