About the Stein equation for the generalized inverse Gaussian and Kummer distributions

DOI10.1051/PS/2020009MaRDI QIDQ5140334zbMATH OpenOpenAlexFDO

Authors Essomanda Konzou, Angelo Efoevi Koudou

Publication date 15 December 2020

Published in ESAIM: Probability and Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1808.01781

zbMATH Keywords

generalized inverse Gaussian distributionKummer distributionStein characterization

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Central limit and other weak theorems (60F05)

Abstract: We propose a Stein characterization of the Kummer distribution on (0, $infty$). This result follows from our observation that the density of the Kummer distribution satisfies a certain differential equation, leading to a solution of the related Stein equation. A bound is derived for the solution, under a condition on the parameters. The derivation of this bound is carried out using the same framework as in Gaunt 2017 [A Stein characterisation of the generalized hyper-bolic distribution. ESAIM: Probability and Statistics, 21, 303--316] in the case of the generalized inverse Gaussian distribution, which we revisit by correcting a minor error in the latter paper.

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Cites work

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Cited in

(5)

• Rate of convergence of generalized inverse Gaussian and Kummer distributions to the gamma distribution via Stein's method
• New bounds for the solution and derivatives of the Stein equation for the generalized inverse Gaussian and Kummer distributions
• Stein's method in two limit theorems involving the generalized inverse Gaussian distribution
• New error bounds for Laplace approximationviaStein’s method
• A general solution of the type I McKay distribution's Stein equation

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