Chi-square approximation by Stein's method with application to Pearson's statistic

DOI10.1214/16-AAP1213MaRDI QIDQ2013568zbMATH OpenWikidataFDO

Authors Robert E. Gaunt, Alastair M. Pickett, Gesine Reinert

Publication date 8 August 2017

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1507.01707, https://projecteuclid.org/euclid.aoap/1495764365

zbMATH Keywords

Stein's methodconvergence ratechi-square approximationPearson's statistic

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Central limit and other weak theorems (60F05)

Abstract: This paper concerns the development of Stein's method for chi-square approximation and its application to problems in statistics. New bounds for the derivatives of the solution of the gamma Stein equation are obtained. These bounds involve both the shape parameter and the order of the derivative. Subsequently Stein's method for chi-square approximation is applied to bound the distributional distance between Pearson's statistic and its limiting chi-square distribution, measured using smooth test functions. In combination with the use of symmetry arguments, Stein' method yields explicit bounds on this distributional distance of order $n^{-1}$.

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