A unified approach to Stein's method for stable distributions

DOI10.1214/20-PS354MaRDI QIDQ2106767zbMATH OpenOpenAlexFDO

Authors N. S. Upadhye, Kalyan Barman

Publication date 19 December 2022

Published in Probability Surveys (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2004.07593

zbMATH Keywords

stable distributionsStein's methodsemigroup approachstable approximation

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Characteristic functions; other transforms (60E10) Processes with independent increments; Lévy processes (60G51) Central limit and other weak theorems (60F05)

Abstract: In this article, we first review the connection between L'evy processes and infinitely divisible random variables, and the classification of infinitely divisible distributions. Using this connection and the L'evy-Khinchine representation of the characteristic function, we establish a Stein identity for an infinitely divisible random variable. The classification and slight modification in approach give us a Stein identity for an $alpha$-stable random variable with $alphain(0,2).$ Using fine regularity estimates for the solution to Stein equation, we derive error bounds for $alpha$-stable approximations. We then apply these results to obtain rates of convergence. Finally, we compare these rates with the results available in the literature.

Recommendations

• Non-integrable stable approximation by Stein's method
• On Stein's method for infinitely divisible laws with finite first moment
• Stein's method for asymmetric \(\alpha \)-stable distributions, with application to the stable CLT
• Approximation of stable law in Wasserstein-1 distance by Stein's method
• On Stein's method for multivariate self-decomposable laws

Cites work

• scientific article; zbMATH DE number 50805 (Why is no real title available?)
• scientific article; zbMATH DE number 3438144 (Why is no real title available?)
• scientific article; zbMATH DE number 1889798 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• A bound on the Wasserstein-2 distance between linear combinations of independent random variables
• A kernel bound for non-symmetric stable distribution and its applications
• Approximation of stable law in Wasserstein-1 distance by Stein's method
• Approximation to stable law by the Lindeberg principle
• Central limit theorem and convergence to stable laws in Mallows distance
• Financial Modelling with Jump Processes
• Financial models with Lévy processes and volatility clustering.
• Fluctuations of Lévy processes with applications. Introductory lectures
• Fundamentals of Stein's method
• Invariant measures and symmetry property of Lévy type operators
• Lévy Processes and Stochastic Calculus
• Non-integrable stable approximation by Stein's method
• On Stein operators for discrete approximations
• On Stein's method for infinitely divisible laws with finite first moment
• On Stein's method for multivariate self-decomposable laws
• On Stein's method for multivariate self-decomposable laws with finite first moment
• On discrete Gibbs measure approximation to runs
• On the infinite divisbility of the Pareto distribution
• Orthogonal polynomials in Stein's method
• Poisson approximation for dependent trials
• Rate of convergence to a stable law
• Some new Stein operators for product distributions
• Stable convergence and stable limit theorems
• Stein's method for asymmetric \(\alpha \)-stable distributions, with application to the stable CLT
• Stein's method for comparison of univariate distributions
• Stein's method for diffusion approximations
• Stein's method for discrete Gibbs measures
• The Accuracy of Infinitely Divisible Approximations to Sums of Independent Variables with Application to Stable Laws
• Variance-gamma approximation via Stein's method

Cited in

(7)

• Non-integrable stable approximation by Stein's method
• On Stein factors for Laplace approximation and their application to random sums
• Stein's method for asymmetric \(\alpha \)-stable distributions, with application to the stable CLT
• The necessary and sufficient conditions for the uniform dominance of the two-stage Stein estimators
• A probability approximation framework: Markov process approach
• Cramér-type moderate deviations under local dependence
• Stein's method for comparison of univariate distributions

This page was built for publication: A unified approach to Stein's method for stable distributions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2106767)