- Abstract:
-
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...
Expand abstract - Publication status:
- Published
- Peer review status:
- Peer reviewed
- Version:
- Publisher's version
- Files:
-
-
(pdf, 443.1KB)
-
- Publisher copy:
- 10.1214/EJP.v19-3020
-
Version unsuitable
-
We have not obtained a suitable full-text for a given research output. See this page for more information.
-
Recently completed
-
Sometimes content is held in ORA but is unavailable for a fixed period of time to comply with the policies and wishes of rights holders.
-
Permissions
-
All content made available in ORA should comply with relevant rights, such as copyright. See this page for more information.
-
Clearance
-
Some thesis volumes scanned as part of the digitisation scheme funded by Dr Leonard Polonsky are currently unavailable due to sensitive material or uncleared third-party copyright content. We are attempting to contact authors whose theses are affected.
- Grant:
- Studentship; Doctoral Prize
- 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
- DOI:
- EISSN:
-
1083-6489
- ISSN:
-
1083-6489
- URN:
-
uuid:fa4e5187-1436-4822-837d-ee020b215a22
- Source identifiers:
-
561692
- Local pid:
- pubs:561692
- Copyright holder:
- Robert Gaunt
- Copyright date:
- 2014
- Notes:
- This work is licensed under a Creative Commons Attribution 3.0 License.
Journal article
Variance-Gamma approximation via Stein's method
Actions
Access Document
Why is the content I wish to access not available via ORA?
Bibliographic data (the information relating to research outputs) and full-text items (e.g. articles, theses, reports, etc.) arrive in ORA from several different sources. Unfortunately we are not able to make available the full-text for every research output.
Please contact the ORA team (
) if you have queries regarding unavailable content OR if you are aware of a full-text copy we can make available.
) if you have queries regarding unavailable content OR if you are aware of a full-text copy we can make available.
Content may be unavailable for the following four reasons
Alternative access to the full-text
You may be able to access the full-text directly from the publisher's website using the 'Publisher Copy' link in the 'Links & Downloads' box from a research output's ORA record page. This method may require an institutional or individual subscription to the journal/resource.
Authors
Funding
+ Engineering and Physical Sciences Research Council
More from this funder
Bibliographic Details
Item Description
Terms of use
If you are the owner of this record, you can report an update to it here: Report update to this record