Wasserstein and Kolmogorov error bounds for variance-gamma approximation via Stein's method. I
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Publication:2297333
DOI10.1007/s10959-018-0867-4zbMath1430.60026arXiv1711.07379OpenAlexW2963634288MaRDI QIDQ2297333
Publication date: 18 February 2020
Published in: Journal of Theoretical Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1711.07379
Central limit and other weak theorems (60F05) Approximations to statistical distributions (nonasymptotic) (62E17)
Related Items (14)
Bounds for an integral involving the modified lommel function of the first kind ⋮ On Brascamp-Lieb and Poincaré type inequalities for generalized tempered stable distribution ⋮ Stein's method for functions of multivariate normal random variables ⋮ Stein factors for variance-gamma approximation in the Wasserstein and Kolmogorov distances ⋮ Bounding Kolmogorov distances through Wasserstein and related integral probability metrics ⋮ On Stein factors for Laplace approximation and their application to random sums ⋮ On the moments of the variance-gamma distribution ⋮ Inequalities for integrals of the modified Struve function of the first kind. II. ⋮ Malliavin-Stein method: a survey of some recent developments ⋮ Bounds for an integral of the modified Bessel function of the first kind and expressions involving it ⋮ Convergence Rate of Random Geometric Sum Distributions to the Laplace Law ⋮ Bounds for an integral involving the modified Struve function of the first kind ⋮ Refined normal approximations for the Student distribution ⋮ New error bounds for Laplace approximationviaStein’s method
Uses Software
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