Rates of convergence of variance-gamma approximations via Stein's method

Thesis

Stein's method is a powerful technique that can be used to obtain bounds for approximation errors in a weak convergence setting. The method has been used to obtain approximation results for a number of distributions, such as the normal, Poisson and Gamma distributions. A major strength of the method is that it is often relatively straightforward to apply it to problems involving dependent random variables.

In this thesis, we consider the adaptation of Stein's method to the class of ...

Expand abstract

Authors: Gaunt, R

• Publication date: 2013
• Type of award: DPhil
• Level of award: Doctoral
• Awarding institution: Oxford University, UK
• Language: English
• Keywords: Variance-Gamma distribution; Stein's method; functions of multivariate normal random variables; rate of convergence; chi-square distribution; coupling; distributional transformation; product normal distribution; Friedman's statistic
• Subjects: Probability