Residential College | false |
Status | 已發表Published |
Approximation of stable law in Wasserstein-1 distance by Stein’s method1 | |
Xu,Lihu1,2 | |
2019-02-01 | |
Source Publication | Annals of Applied Probability |
ISSN | 1050-5164 |
Volume | 29Issue:1Pages:458-504 |
Abstract | Let n is an element of N, let zeta(n,1), . . . , zeta(n,n) be a sequence of independent random variables with E zeta(n,i) = 0 and E vertical bar zeta(n,i)vertical bar < infinity for each i, and let mu be an alpha-stable distribution having characteristic function e(-vertical bar lambda vertical bar alpha) with alpha is an element of (1, 2). Denote S-n = zeta(n,1) + . . . + zeta(n,n) and its distribution by L (S-n), we bound the Wasserstein-1 distance of L(S-n) and mu essentially by an L-1 discrepancy between two kernels. More precisely we prove the following inequality: d(W)(L(S-n), mu) <= C[Sigma(n )(i=1)integral(N )(-N)vertical bar kappa(alpha)(t, N)/n - K-i(t, N)/alpha vertical bar dt = R-N,R-n], where d(W) is the Wasserstein-1 distance of probability measures, kappa(alpha)(t, N) is the kernel of a decomposition of the fractional Laplacian Delta(alpha/2), K-i(t, N) is a K function (Normal Approximation by Stein's Method (2011) Springer) with a truncation and R-N,R-n is a small remainder. The integral term Sigma(n )(i=1)integral(N )(-N)vertical bar kappa(alpha)(t, N)/n - K-i(t, N)/alpha vertical bar dt can be interpreted as an L-1 discrepancy. As an application, we prove a general theorem of stable law convergence rate when zeta(n)(,i) are i.i.d. and the distribution falls in the normal domain of attraction of mu. To test our results, we compare our convergence rates with those known in the literature for four given examples, among which the distribution in the fourth example is not in the normal domain of attraction of mu. |
Keyword | L1 Discrepancy Normal Domain Of Attraction Of Stable Law Stable Approximation Stein’s Method Wasserstein-1 Distance (W1 Distance) Α-stable Processes |
DOI | 10.1214/18-AAP1424 |
URL | View the original |
Indexed By | SCIE |
Language | 英語English |
WOS Research Area | Mathematics |
WOS Subject | Statistics & Probability |
WOS ID | WOS:000452168100011 |
Scopus ID | 2-s2.0-85058485160 |
Fulltext Access | |
Citation statistics | |
Document Type | Journal article |
Collection | DEPARTMENT OF MATHEMATICS |
Corresponding Author | Xu,Lihu |
Affiliation | 1.Department of Mathematics,Faculty of Science and Technology,University of Macau,Macau,Av. Padre Tomás Pereira, Taipa,China 2.Um Zhuhai Research Institute,Zhuhai,China |
First Author Affilication | Faculty of Science and Technology |
Corresponding Author Affilication | Faculty of Science and Technology |
Recommended Citation GB/T 7714 | Xu,Lihu. Approximation of stable law in Wasserstein-1 distance by Stein’s method1[J]. Annals of Applied Probability, 2019, 29(1), 458-504. |
APA | Xu,Lihu.(2019). Approximation of stable law in Wasserstein-1 distance by Stein’s method1. Annals of Applied Probability, 29(1), 458-504. |
MLA | Xu,Lihu."Approximation of stable law in Wasserstein-1 distance by Stein’s method1".Annals of Applied Probability 29.1(2019):458-504. |
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