Stein characterizations for linear combinations of gamma random variables

DOI10.1214/18-BJPS420MaRDI QIDQ783312zbMATH OpenOpenAlexFDO

Authors Benjamin Arras, Ehsan Azmoodeh, Guillaume Poly, Yvik Swan

Publication date 12 August 2020

Published in Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1709.01161, https://projecteuclid.org/euclid.bjps/1588579227

zbMATH Keywords

Stein's methodsecond Wiener chaosmultivariate gamma distributionMcKay distribution

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Characteristic functions; other transforms (60E10) Stochastic calculus of variations and the Malliavin calculus (60H07) Central limit and other weak theorems (60F05)

Abstract: In this paper we propose a new, simple and explicit mechanism allowing to derive Stein operators for random variables whose characteristic function satisfies a simple ODE. We apply this to study random variables which can be represented as linear combinations of (non necessarily independent) gamma distributed random variables. The connection with Malliavin calculus for random variables in the second Wiener chaos is detailed. An application to McKay Type I random variables is also outlined.

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Cited in

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• On Stein's method for multivariate self-decomposable laws
• On algebraic Stein operators for Gaussian polynomials
• Some new Stein operators for product distributions
• On the gamma difference distribution
• A Kotz and Steutel type of characterization of the gamma family
• Multidimensional Stein's method for gamma approximation
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• Identifying the distribution of linear combinations of gamma random variables via Stein’s method
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• An algebra of Stein operators

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