Stein's method of exchangeable pairs for the Beta distribution and generalizations

DOI10.1214/EJP.V20-3933zbMATH Open1328.60064arXiv1411.4477MaRDI QIDQ894169FDOQ894169

Authors: Christian Döbler 

Publication date: 27 November 2015

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: We propose a new version of Stein's method of exchangeable pairs, which, given a suitable exchangeable pair $(W,W^{\prime })$ of real-valued random variables, suggests the approximation of the law of $W$ by a suitable absolutely continuous distribution. This distribution is characterized by a first order linear differential Stein operator, whose coefficients $gamma$ and $eta$ are motivated by two regression properties satisfied by the pair $(W,W^{\prime })$. Furthermore, the general theory of Stein's method for such an absolutely continuous distribution is developed and a general characterization result as well as general bounds on the solution to the Stein equation are given. This abstract approach is a certain extension of the theory developed in the papers cite{ChSh} and cite{EiLo10}, which only consider the framework of the density approach, i.e. $etaequiv1$. As an illustration of our technique we prove a general plug-in result, which bounds a certain distance of the distribution of a given random variable $W$ to a Beta distribution in terms of a given exchangeable pair $(W,W^{\prime })$ and provide new bounds on the solution to the Stein equation for the Beta distribution, which complement the existing bounds from cite{GolRei13}. The abstract plug-in result is then applied to derive bounds of order $n^{-1}$ for the distance between the distribution of the relative number of drawn red balls after $n$ drawings in a P'olya urn model and the limiting Beta distribution measured by a certain class of smooth test functions.

Full work available at URL: https://arxiv.org/abs/1411.4477

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zbMATH Keywords

Stein's methodexchangeable pairsBeta distributionPólya urn model

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Distribution theory (60E99)

Cited In (38)

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• Identifying the limiting distribution by a general approach of Stein's method

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