Journal article
Variance-Gamma approximation via Stein's method
- Abstract:
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Variance-Gamma distributions are widely used in financial modeling and contain as special cases the normal, Gamma and Laplace distributions. In this paper we extend Stein's method to this class of distributions. In particular, we obtain a Stein equation and smoothness estimates for its solution. This Stein equation has the attractive property of reducing to the known normal and Gamma Stein equations for certain parameter values. We apply these results and local couplings to bound the distance...
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- Publication status:
- Published
- Peer review status:
- Peer reviewed
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(Version of record, pdf, 443.1KB)
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- Publisher copy:
- 10.1214/EJP.v19-3020
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Authors
Funding
+ Engineering and Physical Sciences Research Council
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Grant:
Doctoral Prize
Studentship
Bibliographic Details
- Publisher:
- Institute of Mathematical Statistics Publisher's website
- Journal:
- Electronic Journal of Probability Journal website
- Volume:
- 19
- Issue:
- 0
- Pages:
- 1-33
- Publication date:
- 2014-03-29
- Acceptance date:
- 2014-03-26
- DOI:
- EISSN:
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1083-6489
- ISSN:
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1083-6489
- Source identifiers:
-
561692
Item Description
- Keywords:
- Pubs id:
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pubs:561692
- UUID:
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uuid:fa4e5187-1436-4822-837d-ee020b215a22
- Local pid:
- pubs:561692
- Deposit date:
- 2016-03-01
Terms of use
- Copyright holder:
- Robert Gaunt
- Copyright date:
- 2014
- Notes:
- This work is licensed under a Creative Commons Attribution 3.0 License.
- Licence:
- CC Attribution (CC BY)
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