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math.PR2021
An asymptotic approach to proving sufficiency of Stein characterisations
Ehsan Azmoodeh, Dario Gasbarra, Robert E. Gaunt
In extending Stein's method to new target distributions, the first step is to find a Stein operator that suitably characterises the target distribution. In this paper, we introduce…
math.PR2021
Optimal Variance--Gamma approximation on the second Wiener chaos
Ehsan Azmoodeh, Peter Eichelsbacher, Christoph Thäle
In this paper, we consider a target random variable $Y \sim \CVG$ distributed according to a centered Variance--Gamma distribution. For a generic random element in the s…