Stein's method for conditional central limit theorem
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Abstract: In the seventies, Charles Stein revolutionized the way of proving the Central Limit Theorem by introducing a method that utilizes a characterization equation for Gaussian distribution. In the last 50 years, much research has been done to adapt and strengthen this method to a variety of different settings and other limiting distributions. However, it has not been yet extended to study conditional convergences. In this article, we develop a novel approach using Stein's method for exchangeable pairs to find a rate of convergence in Conditional Central Limit Theorem of the form , where are asymptotically jointly Gaussian, and extend this result to a multivariate version. We apply our general result to several concrete examples, including pattern count in a random binary sequence and subgraph count in Erd"os-R'enyi random graph.
The authors extend Stein's method to give error bounds and rates of convergence in univariate and multivariate conditional central limit theorems. That is, they give explicit error bounds (measured in 1-Wasserstein distance) in Gaussian approximation for random variables of the form \((W|Y=k)\), and analogous multivariate results. Here \(Y\) is assumed to be a discrete random variable uncorrelated with \(W\). The approach the authors take is motivated by the well-known exchangeable pairs approach to the usual central limit theorem via Stein's method, and uses linearity conditions of a type familiar from that approach. Applications given include the appearance of patterns in random binary sequences, and subgraph counts in an Erdos-Rényi random graph. The paper concludes with a discussion of open problems and potential future work.
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(5)- Approximate central limit theorems
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