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

DOI10.1214/21-AOS2083MaRDI QIDQ2054466zbMATH OpenOpenAlexFDO

Authors Louis H. Y. Chen

Publication date 3 December 2021

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

Full work available at URL https://arxiv.org/abs/2104.08302, https://projecteuclid.org/journals/annals-of-statistics/volume-49/issue-4/Steins-method-of-normal-approximation-Some-recollections-and-reflections/10.1214/21-AOS2083.full

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)

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 It also includes anecdotes of historical interest, including how Stein discovered his method and how I found an unpublished proof of his of the Berry-Esseen theorem.

Recommendations

• A short survey of Stein's method
• Fundamentals of Stein's method
• Stein's method, self-normalized limit theory and applications
• Stein's method for nonlinear statistics: a brief survey and recent progress
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Cited in

(13)

• A robust permutation test for subvector inference in linear regressions
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