Integro-differential inequalities and the Poisson approximation

MaRDI QIDQ1920124zbMATH OpenFDO

Authors V. Papathanasiou, S. A. Utev

Publication date 20 August 1996

Published in Siberian Advances in Mathematics (Search for Journal in Brave)

zbMATH Keywords

difference in total variationnegative binomial random variablesPoisson approximation in total variationStein's method

Mathematics Subject Classification ID

Inequalities involving derivatives and differential and integral operators (26D10) Central limit and other weak theorems (60F05)

Review text

\textit{T. Cacoullos} and the authors [Ann. Probab. 22, No. 3, 1607-1618 (1994; Zbl 0835.60023)] used Stein's method to establish bounds on the difference in total variation between the (absolutely continuous) distribution of a random variable \(X\) and the normal distribution with the same mean and variance, expressed in terms of the quantities \[ U_X = \sup_{g \in L_2} {\text{Var} g (X) \over \text{Var} XE \{[g'(X)]^2\}} \quad \text{and} \quad J_X = \inf_{g \in L_2} {\text{Var} g (X) \over \text{Var} XE^2[g'(X)]}. \] It is the case that \(U_X \geq 1\), and \(J_X \leq 1\), equality in each case characterizing the normal distribution. Analogous results are obtained for Poisson approximation in total variation of nonnegative integer valued random variables, with \(g'\) now being replaced by \(\Delta g\) in the definitions of \(U_X\) and \(J_X\). Applications to sums of independent Bernoulli and negative binomial random variables are given.

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Cited in

(15)

• Admissible convergence for the Poisson-Szegö integrals
• Characterizations of distributions by generalizations of variance bounds and simple proofs of the CLT
• On Stein's method, smoothing estimates in total variation distance and mixture distributions
• Inequalities for Poisson integrals with slowly growing dimensional constants
• Poisson integrals of absolutely continuous and other measures
• scientific article; zbMATH DE number 3855465 (Why is no real title available?)
• Poisson integrals and nontangential limits
• Series expansion on integral of normal function and normality approximate to some discrete distributions
• Discretized normal approximation by Stein's method
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• Stein normal approximation for multidimensional Poisson random measures by third cumulant expansions
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• Probability problems connected with a certain integrodifferential inequality

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