On a connection between Stein characterizations and Fisher information

Details On a connection between Stein characterizations and Fisher information On a connection between Stein characterizations and Fisher information

2011-11-09

arxiv.org/abs/1111.2368v1

Mathematics

Probability

Scientific paper

We generalize the so-called density approach to Stein characterizations of probability distributions. We prove an elementary factorization property of the resulting Stein operator in terms of a generalized (standardized) score function. We use this result to connect Stein characterizations with information distances such as the generalized (standardized) Fisher information.

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