Stein factors for variance-gamma approximation in the Wasserstein and Kolmogorov distances

DOI10.1016/J.JMAA.2022.126274MaRDI QIDQ2673004zbMATH OpenOpenAlexFDO

Authors Robert E. Gaunt

Publication date 13 June 2022

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2008.06088

zbMATH Keywords

Kolmorogorov distanceStein factorsStein's methodvariance-gamma approximationWasserstein distance

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Central limit and other weak theorems (60F05)

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.

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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
• New bounds for the solution and derivatives of the Stein equation for the generalized inverse Gaussian and Kummer distributions
• Bounds for an integral involving the modified lommel function of the first kind
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• Variance-gamma approximation via Stein's method
• 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
• Optimal gamma approximation on Wiener space
• 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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