Simple variance bounds with applications to Bayesian posteriors and intractable distributions
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Publication:6328796
arXiv1911.03396MaRDI QIDQ6328796FDOQ6328796
Authors: Fraser Daly, Fatemeh Ghaderinezhad, Christophe Ley, Yvik Swan 
Publication date: 8 November 2019
Abstract: Using coupling techniques based on Stein's method for probability approximation, we revisit classical variance bounding inequalities of Chernoff, Cacoullos, Chen and Klaassen. Taking advantage of modern coupling techniques allows us to establish novel variance bounds in settings where the underlying density function is unknown or intractable. Applications include bounds for asymptotically Gaussian random variables using zero-biased couplings, bounds for random variables which are New Better (Worse) than Used in Expectation, and analysis of the posterior in Bayesian statistics.
Bayesian inference (62F15) Inequalities; stochastic orderings (60E15) Inequalities involving derivatives and differential and integral operators (26D10)
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