Stein's density approach and information inequalities

DOI10.1214/ECP.V18-2578MaRDI QIDQ742967zbMATH OpenOpenAlexFDO

Authors Christophe Ley, Yvik Swan

Publication date 22 September 2014

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1210.3921

zbMATH Keywords

probability metricsgeneralized Fisher informationPinsker's inequalitymagic factorsStein's density approach

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Central limit and other weak theorems (60F05) Measures of information, entropy (94A17)

Abstract: We provide a new perspective on Stein's so-called density approach by introducing a new operator and characterizing class which are valid for a much wider family of probability distributions on the real line. We prove an elementary factorization property of this operator and propose a new Stein identity which we use to derive information inequalities in terms of what we call the emph{generalized Fisher information distance}. We provide explicit bounds on the constants appearing in these inequalities for several important cases. We conclude with a comparison between our results and known results in the Gaussian case, hereby improving on several known inequalities from the literature.

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