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Approximation of stable law in Wasserstein-1 distance by Stein’s method1
Xu,Lihu1,2
2019-02-01
Source PublicationAnnals of Applied Probability
ISSN1050-5164
Volume29Issue: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.

KeywordL1 Discrepancy Normal Domain Of Attraction Of Stable Law Stable Approximation Stein’s Method Wasserstein-1 Distance (W1 Distance) Α-stable Processes
DOI10.1214/18-AAP1424
URLView the original
Indexed BySCIE
Language英語English
WOS Research AreaMathematics
WOS SubjectStatistics & Probability
WOS IDWOS:000452168100011
Scopus ID2-s2.0-85058485160
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Document TypeJournal article
CollectionDEPARTMENT OF MATHEMATICS
Corresponding AuthorXu,Lihu
Affiliation1.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 AffilicationFaculty of Science and Technology
Corresponding Author AffilicationFaculty 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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