A unified approach to Stein's method for stable distributions

DOI10.1214/20-PS354zbMATH Open1504.60025arXiv2004.07593OpenAlexW3016659106MaRDI QIDQ2106767FDOQ2106767

Authors: N. S. Upadhye, Kalyan Barman 

Publication date: 19 December 2022

Published in: Probability Surveys (Search for Journal in Brave)

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.

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

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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)

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Cited In (5)

• A probability approximation framework: Markov process approach
• Cramér-type moderate deviations under local dependence
• On Stein factors for Laplace approximation and their application to random sums
• The necessary and sufficient conditions for the uniform dominance of the two-stage Stein estimators
• Stein's method for comparison of univariate distributions

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