On Stein's method for multivariate self-decomposable laws with finite first moment
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Publication:2631855
Abstract: We develop a multidimensional Stein methodology for non-degenerate self-decomposable random vectors in having finite first moment. Building on previous univariate findings, we solve an integro-partial differential Stein equation by a mixture of semigroup and Fourier analytic methods. Then, under a second moment assumption, we introduce a notion of Stein kernel and an associated Stein discrepancy specifically designed for infinitely divisible distributions. Combining these new tools, we obtain quantitative bounds on smooth-Wasserstein distances between a probability measure in and a non-degenerate self-decomposable target law with finite second moment. Finally, under an appropriate spectral gap assumption, we investigate, via variational methods, the existence of Stein kernels. In particular, this leads to quantitative versions of classical results on characterizations of probability distributions by variational functionals.
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Cited in
(13)- On Stein's method for multivariate self-decomposable laws
- Non-integrable stable approximation by Stein's method
- A unified approach to Stein's method for stable distributions
- Existence of Stein kernels under a spectral gap, and discrepancy bounds
- Stein kernels and moment maps
- A note on existence of free Stein kernels
- General Stein-Type Covariance Decompositions with Applications to Insurance and Finance
- On Brascamp-Lieb and Poincaré type inequalities for generalized tempered stable distribution
- On some operators associated with non-degenerate symmetric \(\alpha \)-stable probability measures
- Stein's method for negatively associated random variables with applications to second-order stationary random fields
- Covariance representations, \(L^p\)-Poincaré inequalities, Stein's kernels, and high-dimensional CLTs
- First-order covariance inequalities via Stein's method
- Stein's density method for multivariate continuous distributions
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