Parametric Stein operators and variance bounds

LEY, Christophe; Swan, Yvik

doi:10.1214/14-BJPS271

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Parametric Stein operators and variance bounds

LEY, Christophe; Swan, Yvik

2016 • In Brazilian Journal of Probability and Statistics, 30 (2), p. 171 - 195

Peer reviewed

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https://hdl.handle.net/10993/57883

DOI
10.1214/14-BJPS271

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Keywords :

Chernoff inequality; Cramér–Rao inequality; Parameter of interest; Stein characterization; Stein’s method; Statistics and Probability

Abstract :

[en] Stein operators are (differential/difference) operators which arise within the so-called Stein’s method for stochastic approximation.We propose a new mechanism for constructing such operators for arbitrary (continuous or discrete) parametric distributions with continuous dependence on the parameter. We provide explicit general expressions for location, scale and skewness families. We also provide a general expression for discrete distributions. We use properties of our operators to provide upper and lower variance bounds (only lower bounds in the discrete case) on functionals h(X) of random variables X following parametric distributions. These bounds are expressed in terms of the first two moments of the derivatives (or differences) of h. We provide general variance bounds for location, scale and skewness families and apply our bounds to specific examples (namely the Gaussian, exponential, gamma and Poisson distributions). The results obtained via our techniques are systematically competitive with, and sometimes improve on, the best bounds available in the literature.

Disciplines :

Mathematics

Author, co-author :

LEY, Christophe ; University of Luxembourg > Faculty of Science, Technology and Medicine (FSTM) > Department of Mathematics (DMATH) ; Département de Mathématique, Université libre de Bruxelles, Brussels, Belgium

Swan, Yvik; Département de Mathématique, Université de Liège, Liège, Belgium

External co-authors :

yes

Language :

English

Title :

Parametric Stein operators and variance bounds

Publication date :

May 2016

Journal title :

Brazilian Journal of Probability and Statistics

ISSN :

0103-0752

Publisher :

Brazilian Statistical Association

Volume :

Issue :

Pages :

171 - 195

Peer reviewed :

Peer reviewed

Additional URL :

http://projecteuclid.org/download/pdfview_1/euclid.bjps/1459429709

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