Stein factors for variance-gamma approximation in the Wasserstein and Kolmogorov distances
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Publication:2673004
Abstract: We obtain new bounds for the solution of the variance-gamma (VG) Stein equation that are of the correct form for approximations in terms of the Wasserstein and Kolmorogorov metrics. These bounds hold for all parameters values of the four parameter VG class. As an application we obtain explicit Wasserstein and Kolmogorov distance error bounds in a six moment theorem for VG approximation of double Wiener-It^{o} integrals.
The author obtains new bounds for the solution of the variance-gamma Stein equation. The obtained results complement the work [\textit{R. E. Gaunt}, J. Theor. Probab. 33, No. 1, 465--505 (2020; Zbl 1430.60026)] by obtaining analogous bounds for all parameters values of the variance-gamma class. The progress was available because of some very recent work on inequalities for integrals of modified Bessel functions and derivatives of solutions of Stein equations. As a corollary the paper derives a quantitative sixth moment theorem for the variance-gamma approximation of double Wiener-Itô integrals. Explicit Wasserstein and Kolmogorov distance error bounds are provided. The general results are illustrated for the rate of convergence for the generalized Rosenblatt process at extreme critical exponent. Very detailed overview of the relevant literature and motivation are provided in the introduction.
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Cited in
(17)- The Gamma Stein equation and noncentral de Jong theorems
- Optimal variance-Gamma approximation on the second Wiener chaos
- Distances between distributions via Stein's method
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- Bounding Kolmogorov distances through Wasserstein and related integral probability metrics
- Gamma, Gaussian and Poisson approximations for random sums using size-biased and generalized zero-biased couplings
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- The variance-gamma ratio distribution
- Improved bounds in Stein's method for functions of multivariate normal random vectors
- A Stein characterisation of the distribution of the product of correlated normal random variables
- Approximation of stable law in Wasserstein-1 distance by Stein's method
- The variance-gamma distribution: a review
- Stein's method for asymmetric Laplace approximation
- Malliavin-Stein method for variance-gamma approximation on Wiener space
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