Distances between distributions via Stein's method

DOI10.1007/S10959-021-01075-8arXiv1909.11518MaRDI QIDQ6325958FDOQ6325958

Publication date: 25 September 2019

Abstract: We build on the formalism developed in [arXiv:1906.08372v1] to propose new representations of solutions to Stein equations. We provide new uniform and non uniform bounds on these solutions (a.k.a. Stein factors). We use these representations to obtain representations for differences between expectations in terms of solutions to the Stein equations. We apply these to compute abstract Stein-type bounds on Kolmogorov, Total Variation and Wasserstein distances between arbitrary distributions. We apply our results to several illustrative examples, and compare our results with current literature on the same topic, whenever possible. In all occurrences our results are competitive.

Mathematics Subject Classification ID

Approximations to statistical distributions (nonasymptotic) (62E17) Applications of operator theory in probability theory and statistics (47N30)

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