On Stein's method for multivariate self-decomposable laws
From MaRDI portal
Publication:2279323
Abstract: This work explores and develops elements of Stein's method of approximation, in the infinitely divisible setting, and its connections to functional analysis. It is mainly concerned with multivariate self-decomposable laws without finite first moment and, in particular, with -stable ones, . At first, several characterizations of these laws via covariance identities are presented. In turn, these characterizations lead to integro-differential equations which are solved with the help of both semigroup and Fourier methodologies. Then, Poincar'e-type inequalities for self-decomposable laws having finite first moment are revisited. In this non-local setting, several algebraic quantities (such as the carr'e du champs and its iterates) originating in the theory of Markov diffusion operators are computed. Finally, rigidity and stability results for the Poincar'e-ratio functional of the rotationally invariant -stable laws, , are obtained; and as such they recover the classical Gaussian setting as .
The paper is a continuation of the authors' study on Stein's method for multivariate self-decomposable laws [Electron. J. Probab. 24, Paper No. 29, 33 p. (2019; Zbl 1466.60027)] mainly to the infinite mean case. Of particular interest are multivariate \(\alpha\)-stable laws with \(\alpha\in(0,1]\). The generator of the corresponding semigroup has a non-local part depending on the Lévy measure of the infinitely divisible self-decomposable law for which \(C^1\)-regularity is obtained using a polar decomposition of the Lévy measure. The corresponding Stein equation is solved using a combination of semigroup and Fourier analytic techniques. Based on the semigroup of non-local operators the authors further derive Poincaré-type inequalities for self-decomposable laws with finite first moment. In particular, for rotationally symmetric \(\alpha\)-stable laws with \(\alpha\in(1,2)\) the authors show that a Bakry-Émery criterion holds and obtain some quantities such as carré du champs and its iterates. Based on these, rigidity and stability results for the Poincaré-ratio functional are obtained by a spectral analysis and Dirichlet form theory.
Recommendations
- On Stein's method for multivariate self-decomposable laws with finite first moment
- On estimation of the spectral measure of certain nonnormal operator stable laws
- Stein's method for asymmetric \(\alpha \)-stable distributions, with application to the stable CLT
- Spectral representation of multiply self-decomposable stochastic processes and applications
- scientific article; zbMATH DE number 3903289
- Analytic proof of multivariate stable local large deviations and application to deterministic dynamical systems
- On the estimation of the parameters of multivariate stable distributions
- Stein characterizations for linear combinations of gamma random variables
- Gamma limits and U-statistics on the Poisson space
- The Malliavin–Stein Method on the Poisson Space
Cites work
- A multivariate CLT for decomposable random vectors with finite second moments
- A multivariate CLT for local dependence with \(n^{-1/2}\log n\) rate and applications to multivariate graph related statistics
- A short survey of Stein's method
- An Introduction to Stein's Method
- Analysis and geometry of Markov diffusion operators
- Approximation of stable law in Wasserstein-1 distance by Stein's method
- Characterization of probability distributions by Poincaré-type inequalities
- Chi-square approximation by Stein's method with application to Pearson's statistic
- Classical Fourier Analysis
- Compound Poisson approximation for nonnegative random variables via Stein's method
- Differentiable measures and the Malliavin calculus
- Dirichlet forms and symmetric Markov processes.
- Existence of Stein kernels under a spectral gap, and discrepancy bounds
- Functional inequalities for stable-like Dirichlet forms
- Fundamentals of Stein's method
- Gaussian approximation of multivariate Lévy processes with applications to simulation of tempered stable processes
- Harnack and functional inequalities for generalized Mehler semigroups.
- scientific article; zbMATH DE number 3112238 (Why is no real title available?)
- scientific article; zbMATH DE number 4080508 (Why is no real title available?)
- scientific article; zbMATH DE number 50805 (Why is no real title available?)
- scientific article; zbMATH DE number 3483022 (Why is no real title available?)
- scientific article; zbMATH DE number 3438144 (Why is no real title available?)
- scientific article; zbMATH DE number 2172364 (Why is no real title available?)
- Interpolation, correlation identities, and inequalities for infinitely divisible variables
- Invariant measures and symmetry property of Lévy type operators
- Lévy-Ornstein-Uhlenbeck transition semigroup as second quantized operator
- Measuring sample quality with diffusions
- Multivariate normal approximation using exchangeable pairs
- Multivariate normal approximation using Stein's method and Malliavin calculus
- Multivariate normal approximation with Stein's method of exchangeable pairs under a general linearity condition
- Multivariate normal approximations by Stein's method and size bias couplings
- Non-integrable stable approximation by Stein's method
- Normal Approximation by Stein’s Method
- On Stein's method for infinitely divisible laws with finite first moment
- On Stein's method for multivariate normal approximation
- On Stein's method for multivariate self-decomposable laws with finite first moment
- On the Product of Semi-Groups of Operators
- On the rate of convergence in the multivariate CLT
- Perturbations of generalized Mehler semigroups and applications to stochastic heat equations with Levy noise and singular drift
- Poincaré-type inequalities via stochastic integrals
- Poisson approximation for dependent trials
- Rigidity and stability of Caffarelli's log-concave perturbation theorem
- Semigroups of linear operators and applications to partial differential equations
- Sharp stability of some spectral inequalities
- Spectral inequalities in quantitative form
- Stein estimation for infinitely divisible laws
- Stein's method and approximating the quantum harmonic oscillator
- Stein's method and the Laplace distribution
- Stein's method for comparison of univariate distributions
- Stein's method for diffusion approximations
- Stein's method in high dimensions with applications
- The Gamma Stein equation and noncentral de Jong theorems
Cited in
(19)- Estimation of smooth functionals in high-dimensional models: bootstrap chains and Gaussian approximation
- A unified approach to Stein's method for stable distributions
- Non-integrable stable approximation by Stein's method
- On Brascamp-Lieb and Poincaré type inequalities for generalized tempered stable distribution
- First-order covariance inequalities via Stein's method
- On Stein's method for multivariate self-decomposable laws with finite first moment
- General Stein-Type Covariance Decompositions with Applications to Insurance and Finance
- On Stein's method for infinitely divisible laws with finite first moment
- Stein's method for negatively associated random variables with applications to second-order stationary random fields
- Stein's method for conditional central limit theorem
- A probability approximation framework: Markov process approach
- On some operators associated with non-degenerate symmetric \(\alpha \)-stable probability measures
- Covariance representations, \(L^p\)-Poincaré inequalities, Stein's kernels, and high-dimensional CLTs
- Multivariate stable approximation by Stein's method
- Gaussian random field approximation via Stein's method with applications to wide random neural networks
- Sharp high-dimensional central limit theorems for log-concave distributions
- Some notes on quantitative generalized CLTs with self-decomposable limiting laws by spectral methods
- Approximation of the invariant measure for stable stochastic differential equations by the Euler-Maruyama scheme with decreasing step sizes
- Stein's method for the matrix normal distribution
This page was built for publication: On Stein's method for multivariate self-decomposable laws
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2279323)
