Stein's Method Meets Computational Statistics: A Review of Some Recent Developments
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Publication:6367124
DOI10.1214/22-STS863arXiv2105.03481MaRDI QIDQ6367124FDOQ6367124
Chris J. Oates, Arthur Gretton, Bruno Ebner, Alessandro Barp, Fatemeh Ghaderinezhad, Gesine Reinert, Yvik Swan, Lester Mackey, Jackson Gorham, Robert E. Gaunt, Andreas Anastasiou, Qiang Liu, Christophe Ley, François-Xavier Briol
Publication date: 7 May 2021
Abstract: Stein's method compares probability distributions through the study of a class of linear operators called Stein operators. While mainly studied in probability and used to underpin theoretical statistics, Stein's method has led to significant advances in computational statistics in recent years. The goal of this survey is to bring together some of these recent developments and, in doing so, to stimulate further research into the successful field of Stein's method and statistics. The topics we discuss include tools to benchmark and compare sampling methods such as approximate Markov chain Monte Carlo, deterministic alternatives to sampling methods, control variate techniques, parameter estimation and goodness-of-fit testing.
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