Multivariate stable approximation by Stein's method
In the setting of multivariate approximation by an \(\alpha\)-stable law, for some \(\alpha\in(0,2)\), using Stein's method, the authors establish new bounds on the solution to the underlying Stein equation which allow approximation results to be derived in Wasserstein-type distances. These rely on delicate density estimates for multivariate strictly stable laws. These bounds are then applied to yield rates of convergence in the classical multivariate stable limit theorem. Pareto-type examples are used to illustrate the sharpness of the rates obtained.
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