On a connection between Stein characterizations and Fisher information
Probability
2011-11-11 v1 Other Statistics
Abstract
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.
Keywords
Cite
@article{arxiv.1111.2368,
title = {On a connection between Stein characterizations and Fisher information},
author = {Christophe Ley and Yvik Swan},
journal= {arXiv preprint arXiv:1111.2368},
year = {2011}
}