Multivariate Normal Approximation by Stein's Method: The Concentration Inequality Approach

arXiv1111.4073MaRDI QIDQ6229095FDOQ6229095

Authors: Louis H. Y. Chen, Xiao Fang 

Publication date: 17 November 2011

Abstract: The concentration inequality approach for normal approximation by Stein's method is generalized to the multivariate setting. We use this approach to prove a non-smooth function distance for multivariate normal approximation for standardized sums of $k$-dimensional independent random vectors $W=su{m}_{i=1}^n{X}_i$ with an error bound of order $k^{1/2}gamma$ where $gamma=su{m}_{i=1}^{n}E|X_i{|}^3$. For sums of locally dependent (unbounded) random vectors, we obtain a fourth moment bound which is typically of order $O_k(1/sqrtn)$, as well as a third moment bound which is typically of order $O_k(logn/sqrtn)$.

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Central limit and other weak theorems (60F05)

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