Related papers: Stein operators for variables form the third and f…
We use Stein's method to establish the rates of normal approximation in terms of the total variation distance for a large class of sums of score functions of marked Poisson point processes on $\mathbb{R}^d$. As in the study under the weaker…
The paper presents some heuristic results about the distribution of zeros of Hermite-Pade polynomials of first kind for the case of three functions $1,f,f^2$, where $f$ has the form $f(z): = \prod\limits_ {j = 1 } ^3 (z-a_j) ^ {\alpha_j} $,…
In this paper, we explore some links between transforms derived by Stein's method and concentration inequalities. In particular, we show that the stochastic domination of the zero bias transform of a random variable is equivalent to…
On any denumerable product of probability spaces, we extend the discrete Malliavin structure for conditionally independent random variables. As a consequence, we obtain the chaos decomposition for functionals of conditionally independent…
In this paper, we simulate diffusion bridges by using an approximation of the Wiener-chaos expansion (WCE), or a Fourier-Hermite expansion, for a related diffusion process. Indeed, we consider the solution of stochastic differential…
Gradient estimation -- approximating the gradient of an expectation with respect to the parameters of a distribution -- is central to the solution of many machine learning problems. However, when the distribution is discrete, most common…
The variance-gamma (VG) distributions form a four-parameter family which includes as special and limiting cases the normal, gamma and Laplace distributions. Some of the numerous applications include financial modelling and distributional…
The variance-gamma (VG) distributions form a four parameter family that includes as special and limiting cases the normal, gamma and Laplace distributions. Some of the numerous applications include financial modelling and approximation on…
We introduce a distributionally robust maximum likelihood estimation model with a Wasserstein ambiguity set to infer the inverse covariance matrix of a $p$-dimensional Gaussian random vector from $n$ independent samples. The proposed model…
We prove a new family of inequalities involving squares of random variables belonging to the Wiener chaos associated with a given Gaussian field. Our result provides a substantial generalisation, as well as a new analytical proof, of an…
In the present paper we give two alternate proofs of the well known theorem that the empirical distribution of the appropriately normalized roots of the $n^{th}$ monic Hermite polynomial $H_n$ converges weakly to the semicircle law, which…
We deal with a sequence of integer-valued random variables $\{Z_N\}_{N=1}^{\infty}$ which is related to restricted partitions of positive integers. We observe that $Z_N=X_1+ \ldots + X_N$ for independent and bounded random variables…
The Boltzmann equation with the Bhatnagar-Gross-Krook collision operator is considered for the Bose-Einstein and Fermi-Dirac equilibrium distribution functions. We show that the expansion of the microscopic velocity in terms of Hermite…
In this paper, we propose a modification to the density approach to Stein's method for intervals for the unit circle $\mathbb{S}^1$ which is motivated by the differing geometry of $\mathbb{S}^1$ to Euclidean space. We provide an upper bound…
The purpose of this paper is to analyze the distribution distance between random vectors derived from the magnitude of the analytic wavelet transform of the squared envelopes of Gaussian processes and their large-scale limits. When the…
In this paper, we obtain error bound for binomial and negative binomial approximations to weighted sums of locally dependent random variables, using Stein's method. We also discuss approximation results for weighted sums of independent…
We obtain new bounds for the solution of the variance-gamma (VG) Stein equation that are of the correct form for approximations in terms of the Wasserstein and Kolmorogorov metrics. These bounds hold for all parameters values of the four…
We use Stein's method to obtain explicit bounds on the rate of convergence for the Laplace approximation of two different sums of independent random variables; one being a random sum of mean zero random variables and the other being a…
In analyzing a simple random walk on the Heisenberg group we encounter the problem of bounding the extreme eigenvalues of an $n\times n$ matrix of the form $M=C+D$ where $C$ is a circulant and $D$ a diagonal matrix. The discrete…
The recently introduced basis adaptation method for Homogeneous (Wiener) Chaos expansions is explored in a new context where the rotation/projection matrices are computed by discovering the active subspace where the random input exhibits…