Stein's method for diffusion approximations
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Stein's method of obtaining distributional approximations is developed in the context of functional approximation by the Wiener process and other Gaussian processes. An appropriate analogue of the one-dimensional Stein equation is derived, and the necessary properties of its solutions are established. The method is applied to the partial sums of stationary sequences and of dissociated arrays, to a process version of the Wald- Wolfowitz theorem and to the empirical distribution function.
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- The Stein-Dirichlet-Malliavin method
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- Stein's method for steady-state diffusion approximations: an introduction through the Erlang-A and Erlang-C models
- Stein's method and point process approximation
- Note on A. Barbour's paper on Stein's method for diffusion approximations
- scientific article; zbMATH DE number 2109850
- Stein's method and stochastic analysis of Rademacher functionals
Cites work
- An estimate of the remainder in a combinatorial central limit theorem
- Convergence of stochastic processes
- Dissociated random variables
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- scientific article; zbMATH DE number 4080508 (Why is no real title available?)
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- Poisson approximation for dependent trials
- Two moments suffice for Poisson approximations: The Chen-Stein method
Cited in
(only showing first 100 items - show all)- Statistical inference for reciprocal gamma diffusion process
- Stein's method and the zero bias transformation with application to simple random sampling
- Couplings, gradient estimates and logarithmic Sobolev inequalitiy for Langevin bridges
- Stein's method for positively associated random variables with applications to the Ising and voter models, bond percolation, and contact process
- Products of normal, beta and gamma random variables: Stein operators and distributional theory
- Stein operators for variables form the third and fourth Wiener chaoses
- Hitting time and mixing time bounds of Stein's factors
- Compound Poisson approximation for counts of rare patterns in Markov chains and extreme sojourns in birth-death chains.
- From Stein identities to moderate deviations
- A random walk approach to linear statistics in random tournament ensembles
- Functional approximations via Stein's method of exchangeable pairs
- Some new Stein operators for product distributions
- Approximation of Hilbert-valued gaussians on Dirichlet structures
- Stein's method of exchangeable pairs in multivariate functional approximations
- Fixed point characterizations of continuous univariate probability distributions and their applications
- Stein's method of normal approximation: some recollections and reflections
- Quantitative two-scale stabilization on the Poisson space
- The multivariate functional de Jong CLT
- A unified approach to Stein's method for stable distributions
- On algebraic Stein operators for Gaussian polynomials
- Functional convergence of sequential \(U\)-processes with size-dependent kernels
- Non-integrable stable approximation by Stein's method
- Characterizations of non-normalized discrete probability distributions and their application in statistics
- Berry-Esseen bounds for multivariate nonlinear statistics with applications to M-estimators and stochastic gradient descent algorithms
- Stability of the Bakry-Émery theorem on \(\mathbb{R}^n\)
- Stein's method for functions of multivariate normal random variables
- A large sample property in approximating the superposition of i.i.d. finite point processes
- Donsker's theorem in Wasserstein-1 distance
- Stein's method for multivariate Brownian approximations of sums under dependence
- Stein's method for diffusive limits of queueing processes
- Integration-by-parts characterizations of Gaussian processes
- Malliavin-Stein method: a survey of some recent developments
- Cramér-type moderate deviation theorems for nonnormal approximation
- Stein's method for the Poisson-Dirichlet distribution and the Ewens sampling formula, with applications to Wright-Fisher models
- On rates of convergence in the Curie-Weiss-Potts model with an external field
- On Stein's method for multivariate self-decomposable laws
- Measuring sample quality with diffusions
- Approximating stationary distributions of fast mixing Glauber dynamics, with applications to exponential random graphs
- A functional CLT for nonconventional polynomial arrays
- Existence of Stein kernels under a spectral gap, and discrepancy bounds
- Stein kernels and moment maps
- Stein's method, logarithmic Sobolev and transport inequalities
- On a functional contraction method
- Stein meets Malliavin in normal approximation
- Stein's method for concentration inequalities
- Conditional Stein approximation for Itô and Skorohod integrals
- Bounds on convergence for the empirical vector of the Curie-Weiss-Potts model with a non-zero external field vector
- On Stein's method for multivariate self-decomposable laws with finite first moment
- Sunklodas' approach to normal approximation for time-dependent dynamical systems
- On the characterization of Brownian bridge measure on the pinned path space over a compact Riemannian manifold
- Stein's method meets computational statistics: a review of some recent developments
- Rates of convergence in normal approximation under moment conditions via new bounds on solutions of the Stein equation
- Orthogonal polynomials for seminonparametric instrumental variables model
- The Stein-Dirichlet-Malliavin method
- Constants on a uniform Berry-Esseen bound on some Borel sets in R^k via Stein's method
- On strong embeddings by Stein's method
- Stein's method and stochastic orderings
- Parametric Stein operators and variance bounds
- Stein's method for steady-state diffusion approximations: an introduction through the Erlang-A and Erlang-C models
- scientific article; zbMATH DE number 5903629 (Why is no real title available?)
- Statistical Inference for Student Diffusion Process
- scientific article; zbMATH DE number 5984144 (Why is no real title available?)
- On some applications of Stein's method
- Approximating dependent rare events
- Some optimal bounds in the central limit theorem using zero biasing
- Stein's method for invariant measures of diffusions via Malliavin calculus
- Fundamentals of Stein's method
- Hypothesis testing for Fisher-Snedecor diffusion
- A Stein characterisation of the generalized hyperbolic distribution
- Distribution of the sum-of-digits function of random integers: a survey
- Stein's method for negatively associated random variables with applications to second-order stationary random fields
- Stein's method and a quantitative Lindeberg CLT for the Fourier transforms of random vectors
- Normal approximation for mixtures of normal distributions and the evolution of phenotypic traits
- On discrete Gibbs measure approximation to runs
- The prelimit generator comparison approach of Stein's method
- The Stein characterization of \(M\)-Wright distributions
- Stein's method of normal approximation for dynamical systems
- Higher-order Stein kernels for Gaussian approximation
- Dirichlet approximation of equilibrium distributions in Cannings models with mutation
- Note on A. Barbour's paper on Stein's method for diffusion approximations
- Identifying the limiting distribution by a general approach of Stein's method
- Stein's method for the beta distribution and the Pólya-Eggenberger urn
- CLT-related large deviation bounds based on Stein's method
- Error estimation for Stein diffusion approximation of standard Brownian motion
- On Stein's method for infinite-dimensional Gaussian approximation in abstract Wiener spaces
- Approximation results for sums of independent random variables
- scientific article; zbMATH DE number 7662449 (Why is no real title available?)
- Orthogonal polynomials in Stein's method
- High-dimensional regimes of non-stationary Gaussian correlated Wishart matrices
- Stein's method for conditional central limit theorem
- Rates of convergence for the number of zeros of random trigonometric polynomials
- Bounds for the chi-square approximation of Friedman's statistic by Stein's method
- A probability approximation framework: Markov process approach
- Diffusive limits of Lipschitz functionals of Poisson measures
- Stein's method, smoothing and functional approximation
- On Stein factors for Laplace approximation and their application to random sums
- Stein's density method for multivariate continuous distributions
- On a Stein method based approximation for a two-dimensional Markov chain
- Vector-valued statistics of binomial processes: Berry-Esseen bounds in the convex distance
- Stein's method, Gaussian processes and palm measures, with applications to queueing
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