On algebraic Stein operators for Gaussian polynomials

DOI10.3150/22-BEJ1460arXiv1912.04605MaRDI QIDQ6330828FDOQ6330828

Authors: Ehsan Azmoodeh, Dario Gasbarra, Robert E. Gaunt 

Publication date: 10 December 2019

Abstract: The first essential ingredient to build up Stein's method for a continuous target distribution is to identify a so-called extit{Stein operator}, namely a linear differential operator with polynomial coefficients. In this paper, we introduce the notion of extit{algebraic} Stein operators (see Definition ef{def:algebraic-Stein-Operator}), and provide a novel algebraic method to find emph{all} the algebraic Stein operators up to a given order and polynomial degree for a target random variable of the form $Y=h(X)$, where $X=(X_1,dots,X_d)$ has i.i.d$.$ standard Gaussian components and $hinmathbbK[X]$ is a polynomial with coefficients in the ring $mathbbK$. Our approach links the existence of an algebraic Stein operator with extit{null controllability} of a certain linear discrete system. A exttt{MATLAB} code checks the null controllability up to a given finite time $T$ (the order of the differential operator), and provides all extit{null control} sequences (polynomial coefficients of the differential operator) up to a given maximum degree $m$. This is the first paper that connects Stein's method with computational algebra to find Stein operators for highly complex probability distributions, such as $H_{20}(X_1)$, where $H_p$ is the $p$-th Hermite polynomial. Some examples of Stein operators for $H_p(X_1)$, $p=3,4,5,6$, are gathered in the Appendix and many other examples are given in the Supplementary Information.

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Central limit and other weak theorems (60F05) Controllability (93B05) Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) (33C45) Discrete-time control/observation systems (93C55) Applications of operator theory in probability theory and statistics (47N30)

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