Step Size in Stein's Method of Exchangeable Pairs

Details Step Size in Stein's Method of Exchangeable Pairs Step Size in Stein's Method of Exchangeable Pairs

2009-04-02

arxiv.org/abs/0904.0284v1

Mathematics

Probability

37 pages

Scientific paper

Stein's method of exchangeable pairs is examined through five examples in relation to Poisson and normal distribution approximation. In particular, in the case where the exchangeable pair is constructed from a reversible Markov chain, we analyze how modifying the step size of the chain in a natural way affects the error term in the approximation acquired through Stein's method. It has been noted for the normal approximation that smaller step sizes may yield better bounds, and we obtain the first rigorous results that verify this intuition. For the examples associated to the normal distribution, the bound on the error is expressed in terms of the spectrum of the underlying chain, a characteristic of the chain related to convergence rates. The Poisson approximation using exchangeable pairs is less studied than the normal, but in the examples presented here the same principles hold.

Affiliated with

Also associated with

No associations

Rating

Step Size in Stein's Method of Exchangeable Pairs does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Step Size in Stein's Method of Exchangeable Pairs, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Step Size in Stein's Method of Exchangeable Pairs will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-63322