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

DOI10.1214/16-AAP1213MaRDI QIDQ2013568zbMATHWikidataFDO

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

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 $n^{-1}$.

Recommendations

• Poisson approximation in \(\chi^2\) distance by the Stein-Chen approach
• scientific article; zbMATH DE number 2172364
• A brief derivation of the asymptotic distribution of Pearson's statistic and an accurate approximation to its exact distribution
• On some applications of Stein's method
• An Introduction to Stein's Method

Cited in

(35)

• A brief derivation of the asymptotic distribution of Pearson's statistic and an accurate approximation to its exact distribution
• Non-integrable stable approximation by Stein's method
• Stein’s method and the distribution of the product of zero mean correlated normal random variables
• A general parametric Stein characterization
• Bounds for the asymptotic distribution of the likelihood ratio
• Stein's method for functions of multivariate normal random variables
• Stein's method meets computational statistics: a review of some recent developments
• A multivariate Berry-Esseen theorem with explicit constants
• scientific article; zbMATH DE number 7662451 (Why is no real title available?)
• scientific article; zbMATH DE number 7662449 (Why is no real title available?)
• Improved bounds in Stein's method for functions of multivariate normal random vectors
• Stein operators for variables form the third and fourth Wiener chaoses
• On approximations of transformed chi-squared distributions in statistical applications
• Rate of convergence of generalized inverse Gaussian and Kummer distributions to the gamma distribution via Stein's method
• Geometric sums, size biasing and zero biasing
• Bounds for the chi-square approximation of Friedman's statistic by Stein's method
• Inference via randomized test statistics
• Approximation of stable law in Wasserstein-1 distance by Stein's method
• The Gamma Stein equation and noncentral de Jong theorems
• Refined normal approximations for the central and noncentral chi-square distributions and some applications
• Optimal gamma approximation on Wiener space
• A Stein characterisation of the generalized hyperbolic distribution
• On Stein's method for multivariate self-decomposable laws
• Wasserstein distance error bounds for the multivariate normal approximation of the maximum likelihood estimator
• New error bounds for Laplace approximationviaStein’s method
• On rereading Stein's lemma: its intrinsic connection with Cramér-Rao identity and some new identities
• Products of normal, beta and gamma random variables: Stein operators and distributional theory
• Stein factors for variance-gamma approximation in the Wasserstein and Kolmogorov distances
• Stability of higher order eigenvalues in dimension one
• Bounds for the chi-square approximation of the power divergence family of statistics
• On the characterization of Brownian bridge measure on the pinned path space over a compact Riemannian manifold
• Wasserstein and Kolmogorov error bounds for variance-gamma approximation via Stein's method. I
• Fixed point characterizations of continuous univariate probability distributions and their applications
• About the Stein equation for the generalized inverse Gaussian and Kummer distributions
• Gamma, Gaussian and Poisson approximations for random sums using size-biased and generalized zero-biased couplings

This page was built for publication: Chi-square approximation by Stein's method with application to Pearson's statistic

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2013568)