A new method of normal approximation

Details A new method of normal approximation A new method of normal approximation

2006-11-08

arxiv.org/abs/math/0611213v4

Annals of Probability 2008, Vol. 36, No. 4, 1584-1610

Mathematics

Probability

Published in at http://dx.doi.org/10.1214/07-AOP370 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of

Scientific paper

10.1214/07-AOP370

We introduce a new version of Stein's method that reduces a large class of normal approximation problems to variance bounding exercises, thus making a connection between central limit theorems and concentration of measure. Unlike Skorokhod embeddings, the object whose variance must be bounded has an explicit formula that makes it possible to carry out the program more easily. As an application, we derive a general CLT for functions that are obtained as combinations of many local contributions, where the definition of "local" itself depends on the data. Several examples are given, including the solution to a nearest-neighbor CLT problem posed by P. Bickel.

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