Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
11021726 | Journal of Mathematical Analysis and Applications | 2019 | 20 Pages |
Abstract
We build upon recent advances on the distributional aspect of Stein's method to propose a novel and flexible technique for computing Stein operators for random variables that can be written as products of independent random variables. We show that our results are valid for a wide class of distributions including normal, beta, variance-gamma, generalized gamma and many more. Our operators are kth degree differential operators with polynomial coefficients; they are straightforward to obtain even when the target density bears no explicit handle. As an application, we derive a new formula for the density of the product of k independent symmetric variance-gamma distributed random variables.
Related Topics
Physical Sciences and Engineering
Mathematics
Analysis
Authors
Robert E. Gaunt, Guillaume Mijoule, Yvik Swan,