Non-integrable stable approximation by Stein's method

DOI10.1007/S10959-021-01094-5zbMATH Open1487.60032arXiv1903.12315OpenAlexW3149805364MaRDI QIDQ2135202FDOQ2135202

Authors: Peng Chen, Ivan Nourdin, Lihu Xu, Xiaochuan Yang, Rui Zhang 

Publication date: 4 May 2022

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Abstract: We develop Stein's method for $alpha$-stable approximation with $alphain(0,1]$, continuing the recent line of research by Xu cite{lihu} and Chen, Nourdin and Xu cite{C-N-X} in the case $alphain(1,2).$ The main results include an intrinsic upper bound for the error of the approximation in a variant of Wasserstein distance that involves the characterizing differential operators for stable distributions, and an application to the generalized central limit theorem. Due to the lack of first moment for the approximating sequence in the latter result, we appeal to an additional truncation procedure and investigate fine regularity properties of the solution to Stein's equation.

Full work available at URL: https://arxiv.org/abs/1903.12315

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zbMATH Keywords

Stein's methodgeneralized central limit theorem\(\alpha\)-stable approximation

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Central limit and other weak theorems (60F05) Approximations to statistical distributions (nonasymptotic) (62E17) Stable stochastic processes (60G52)

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Cited In (11)

• A probability approximation framework: Markov process approach
• On Stein's method for multivariate self-decomposable laws
• A unified approach to Stein's method for stable distributions
• On Stein factors for Laplace approximation and their application to random sums
• A robust \(\alpha \)-stable central limit theorem under sublinear expectation without integrability condition
• On Brascamp-Lieb and Poincaré type inequalities for generalized tempered stable distribution
• Stein's method for asymmetric \(\alpha \)-stable distributions, with application to the stable CLT
• Approximation to stable law by the Lindeberg principle
• Multivariate stable approximation by Stein's method
• Stable central limit theorem in total variation distance
• New error bounds for Laplace approximationviaStein’s method

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