Wasserstein and Kolmogorov error bounds for variance-gamma approximation via Stein's method. I

DOI10.1007/S10959-018-0867-4zbMATH Open1430.60026arXiv1711.07379OpenAlexW2963634288MaRDI QIDQ2297333FDOQ2297333

Authors: Robert E. Gaunt 

Publication date: 18 February 2020

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

Abstract: The variance-gamma (VG) distributions form a four parameter family that includes as special and limiting cases the normal, gamma and Laplace distributions. Some of the numerous applications include financial modelling and approximation on Wiener space. Recently, Stein's method has been extended to the VG distribution. However, technical difficulties have meant that bounds for distributional approximations have only been given for smooth test functions (typically requiring at least two derivatives for the test function). In this paper, which deals with symmetric variance-gamma (SVG) distributions, and a companion paper cite{gaunt vgii}, which deals with the whole family of VG distributions, we address this issue. In this paper, we obtain new bounds for the derivatives of the solution of the SVG Stein equation, which allow for approximations to be made in the Kolmogorov and Wasserstein metrics, and also introduce a distributional transformation that is natural in the context of SVG approximation. We apply this theory to obtain Wasserstein or Kolmogorov error bounds for SVG approximation in four settings: comparison of VG and SVG distributions, SVG approximation of functionals of isonormal Gaussian processes, SVG approximation of a statistic for binary sequence comparison, and Laplace approximation of a random sum of independent mean zero random variables.

Full work available at URL: https://arxiv.org/abs/1711.07379

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zbMATH Keywords

rate of convergenceStein's methodvariance-gamma approximationdistributional transformation

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Approximations to statistical distributions (nonasymptotic) (62E17)

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Cited In (19)

• Bounds for an integral involving the modified Struve function of the first kind
• Error bounds in local limit theorems using Stein's method
• On Stein factors for Laplace approximation and their application to random sums
• Optimal variance-Gamma approximation on the second Wiener chaos
• Stein's method for functions of multivariate normal random variables
• Variance-gamma approximation via Stein's method
• Stein factors for variance-gamma approximation in the Wasserstein and Kolmogorov distances
• Convergence rate of random geometric sum distributions to the Laplace law
• On Brascamp-Lieb and Poincaré type inequalities for generalized tempered stable distribution
• Bounds for an integral of the modified Bessel function of the first kind and expressions involving it
• Bounds for an integral involving the modified lommel function of the first kind
• Malliavin-Stein method: a survey of some recent developments
• A Stein characterisation of the distribution of the product of correlated normal random variables
• On the moments of the variance-gamma distribution
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• Refined normal approximations for the Student distribution
• Bounding Kolmogorov distances through Wasserstein and related integral probability metrics
• Inequalities for integrals of the modified Struve function of the first kind. II.
• Malliavin-Stein method for variance-gamma approximation on Wiener space

Uses Software

• Digital Library of Mathematical Functions

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