Stein characterizations for linear combinations of gamma random variables
Probability
2023-07-06 v2
Abstract
In this paper we propose a new, simple and explicit mechanism allowing to derive Stein operators for random variables whose characteristic function satisfies a simple ODE. We apply this to study random variables which can be represented as linear combinations of (non necessarily independent) gamma distributed random variables. The connection with Malliavin calculus for random variables in the second Wiener chaos is detailed. An application to McKay Type I random variables is also outlined.
Keywords
Cite
@article{arxiv.1709.01161,
title = {Stein characterizations for linear combinations of gamma random variables},
author = {Benjamin Arras and Ehsan Azmoodeh and Guillaume Poly and Yvik Swan},
journal= {arXiv preprint arXiv:1709.01161},
year = {2023}
}
Comments
This corresponds to the second section of arXiv:1601.03301 . New results added and applications provided