Stein factors for variance-gamma approximation in the Wasserstein and Kolmogorov distances (Q2673004)

The author obtains new bounds for the solution of the variance-gamma Stein equation. The obtained results complement the work [\textit{R. E. Gaunt}, J. Theor. Probab. 33, No. 1, 465--505 (2020; Zbl 1430.60026)] by obtaining analogous bounds for all parameters values of the variance-gamma class. The progress was available because of some very recent work on inequalities for integrals of modified Bessel functions and derivatives of solutions of Stein equations. As a corollary the paper derives a quantitative sixth moment theorem for the variance-gamma approximation of double Wiener-Itô integrals. Explicit Wasserstein and Kolmogorov distance error bounds are provided. The general results are illustrated for the rate of convergence for the generalized Rosenblatt process at extreme critical exponent. Very detailed overview of the relevant literature and motivation are provided in the introduction.