Some simple variance bounds from Stein's method

Fraser A. Daly, Fatemeh Ghaderinezhad, Christophe Ley, Yvik Swan

Research output: Contribution to journalArticlepeer-review

7 Downloads (Pure)

Abstract

Using coupling techniques based on Stein's method for probability approximation, we revisit classical variance bounding inequalities of Chernoff, Cacoullos, Chen and Klaassen. Our bounds are immediate in any context wherein a Stein identity is available. After providing illustrative examples for a Gaussian and a Gumbel target distribution, our main contributions are new variance bounds in settings where the underlying density function is unknown or intractable. Applications include bounds for analysis of the posterior in Bayesian statistics, bounds for asymptotically Gaussian random variables using zero-biased couplings, and bounds for random variables which are New Better (Worse) than Used in Expectation.
Original languageEnglish
JournalALEA: Latin American Journal of Probability and Mathematical Statistics
Publication statusAccepted/In press - 3 Sep 2021

Fingerprint

Dive into the research topics of 'Some simple variance bounds from Stein's method'. Together they form a unique fingerprint.

Cite this