Multivariate Stein factors for a class of strongly log-concave distributions

DOI10.1214/16-ECP15zbMATH Open1348.60116arXiv1512.07392OpenAlexW2962955457WikidataQ123016820 ScholiaQ123016820MaRDI QIDQ321144FDOQ321144

Authors: Lester Mackey, Jackson Gorham 

Publication date: 7 October 2016

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Abstract: We establish uniform bounds on the low-order derivatives of Stein equation solutions for a broad class of multivariate, strongly log-concave target distributions. These "Stein factor" bounds deliver control over Wasserstein and related smooth function distances and are well-suited to analyzing the computable Stein discrepancy measures of Gorham and Mackey. Our arguments of proof are probabilistic and feature the synchronous coupling of multiple overdamped Langevin diffusions.

Full work available at URL: https://arxiv.org/abs/1512.07392

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zbMATH Keywords

Stein's methodgenerator methodmultivariate log-concave distributionoverdamped Langevin diffusionStein discrepancyStein factorssynchronous coupling

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Diffusion processes (60J60) Approximations to statistical distributions (nonasymptotic) (62E17)

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