Stein's method of normal approximation: some recollections and reflections

DOI10.1214/21-AOS2083zbMATH Open1479.60045arXiv2104.08302OpenAlexW3201902362MaRDI QIDQ2054466FDOQ2054466

Authors: Louis H. Y. Chen 

Publication date: 3 December 2021

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: This paper is a short exposition of Stein's method of normal approximation from my personal perspective. It focuses mainly on the characterization of the normal distribution and the construction of Stein identities. Through examples, it provides glimpses into the many approaches to constructing Stein identities and the diverse applications of Stein's method to mathematical problems. It also includes anecdotes of historical interest, including how Stein discovered his method and how I found an unpublished proof of his of the Berry-Esseen theorem.

Full work available at URL: https://arxiv.org/abs/2104.08302

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zbMATH Keywords

normal approximationconcentration inequalityStein's methodStein equationexchangeable pairStein identity

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Central limit and other weak theorems (60F05) Approximations to statistical distributions (nonasymptotic) (62E17)

Cites Work

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Cited In (13)

• A robust permutation test for subvector inference in linear regressions
• Rates of convergence in normal approximation under moment conditions via new bounds on solutions of the Stein equation
• Stein's identities and the related topics: an instructive explanation on shrinkage, characterization, normal approximation and goodness-of-fit
• Stein's method and normal approximation of Poisson functionals
• Stein's method for normal approximation in Wasserstein distances with application to the multivariate central limit theorem
• A short survey of Stein's method
• Stein's method for nonlinear statistics: a brief survey and recent progress
• The heat equation and Stein's identity: connections, applications
• Editorial: Memorial issue for Charles Stein
• Title not available (Why is that?)
• Stein's density method for multivariate continuous distributions
• Central moment inequalities using Stein's method
• Note on A. Barbour's paper on Stein's method for diffusion approximations

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