Article (Scientific journals)
Distances between distributions via Stein's method
Ernst, Marie; Swan, Yvik
2021In Journal of Theoretical Probability
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Keywords :
Stein's method; Stein equations; Stein factors; Kolmogorov distance; Wasserstein distance; Total variation distance; Integral probability metrics
Abstract :
[en] We build on the formalism developed in Ernst et al. (First order covariance inequalities via Stein’s method, 2019) to propose new representations of solutions to Stein equations. We provide new uniform and nonuniform bounds on these solutions (a.k.a. Stein factors). We use these representations to obtain representations for differences between expectations in terms of solutions to the Stein equations. We apply these to compute abstract Stein-type bounds on Kolmogorov, total variation and Wasserstein distances between arbitrary distributions. We apply our results to several illustrative examples and compare our results with current literature on the same topic, whenever possible. In all occurrences our results are competitive.
Disciplines :
Mathematics
Author, co-author :
Ernst, Marie  ;  Université de Liège - ULiège > Département de mathématique > Département de mathématique
Swan, Yvik ;  Université Libre de Bruxelles - ULB > Département de mathématique
Language :
English
Title :
Distances between distributions via Stein's method
Publication date :
07 February 2021
Journal title :
Journal of Theoretical Probability
ISSN :
0894-9840
eISSN :
1572-9230
Publisher :
Kluwer Academic Publishers, Netherlands
Peer reviewed :
Peer Reviewed verified by ORBi
Available on ORBi :
since 05 November 2019

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