Some new Stein operators for product distributions - Archive ouverte HAL Accéder directement au contenu
Article Dans Une Revue Brazilian Journal of Probability and Statistics Année : 2020

Some new Stein operators for product distributions

Résumé

We provide a general result for finding Stein operators for the product of two independent random variables whose Stein operators satisfy a certain assumption, extending a recent result of \cite{gms18}. This framework applies to non-centered normal and non-centered gamma random variables, as well as a general sub-family of the variance-gamma distributions. Curiously, there is an increase in complexity in the Stein operators for products of independent normals as one moves, for example, from centered to non-centered normals. As applications, we give a simple derivation of the characteristic function of the product of independent normals, and provide insight into why the probability density function of this distribution is much more complicated in the non-centered case than the centered case.

Dates et versions

hal-02017801 , version 1 (13-02-2019)

Identifiants

Citer

Robert E. Gaunt, Guillaume Mijoule, Yvik Swan. Some new Stein operators for product distributions. Brazilian Journal of Probability and Statistics, 2020, 34 (4), pp.795-808. ⟨10.1214/19-BJPS460⟩. ⟨hal-02017801⟩
94 Consultations
0 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More