Multivariate normal approximation with Stein's method of exchangeable pairs under a general linearity condition

DOI10.1214/09-AOP467zbMATH Open1200.62010arXiv0711.1082OpenAlexW2003946424WikidataQ57747970 ScholiaQ57747970MaRDI QIDQ971936FDOQ971936

Authors: Gesine Reinert, Adrian Röllin 

Publication date: 17 May 2010

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: In this paper we establish a multivariate exchangeable pairs approach within the framework of Stein's method to assess distributional distances to potentially singular multivariate normal distributions. By extending the statistics into a higher-dimensional space, we also propose an embedding method which allows for a normal approximation even when the corresponding statistics of interest do not lend themselves easily to Stein's exchangeable pairs approach. To illustrate the method, we provide the examples of runs on the line as well as double-indexed permutation statistics.

Full work available at URL: https://arxiv.org/abs/0711.1082

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Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Central limit and other weak theorems (60F05) Approximations to statistical distributions (nonasymptotic) (62E17) Combinatorial probability (60C05)

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Cited In (79)

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