Improved bounds in Stein's method for functions of multivariate normal random vectors

DOI10.1007/S10959-023-01257-6MaRDI QIDQ6204800zbMATH OpenOpenAlexFDO

Authors Robert E. Gaunt, Heather Sutcliffe

Publication date 2 April 2024

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2209.09495

zbMATH Keywords

rate of convergenceStein's methodmultivariate normal approximationpower divergence statisticChi-square approximationfunctions of multivariate normal random vectors

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Approximations to statistical distributions (nonasymptotic) (62E17)

Abstract: In a recent paper, Gaunt 2020 extended Stein's method to limit distributions that can be represented as a function $g:mathbb{R}^{d}ightarrowmathbbR$ of a centered multivariate normal random vector $Sigm{a}^{1/2}mathbfZ$ with $mathbfZ$ a standard $d$-dimensional multivariate normal random vector and $Sigma$ a non-negative definite covariance matrix. In this paper, we obtain improved bounds, in the sense of weaker moment conditions, smaller constants and simpler forms, for the case that $g$ has derivatives with polynomial growth. We obtain new non-uniform bounds for the derivatives of the solution of the Stein equation and use these inequalities to obtain general bounds on the distance, measured using smooth test functions, between the distributions of $g(mathbf{W}_n)$ and $g(mathbfZ)$, where $mathbf{W}_n$ is a standardised sum of random vectors with independent components and $mathbfZ$ is a standard $d$-dimensional multivariate normal random vector. We apply these general bounds to obtain bounds for the chi-square approximation of the family of power divergence statistics (special cases include the Pearson and likelihood ratio statistics), for the case of two cell classifications, that improve on existing results in the literature.

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