A new perspective on Stein’s density approach with applications to information inequalities
AbstractWe provide a new perspective on Stein's so-called density approach by introducing a new operator and characterizing class which are valid for a much wider family of probability distributions on the real line. We prove an elementary factorization property of this operator and propose a new Stein identity which we use to derive information inequalities in terms of what we call the generalized Fisher information distance. We provide explicit bounds on the constants appearing in these inequalities for several important cases. We conclude with a comparison between our results and known results in the Gaussian case, hereby improving on several known inequalities from the literature.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by ULB -- Universite Libre de Bruxelles in its series Working Papers ECARES with number 2013/102561.
Length: 17 p.
Date of creation: Nov 2011
Date of revision:
Publication status: Published by:
generalized Fisher information; magic factors; Pinsker's inequality; probability metrics; Stein's density approach;
This paper has been announced in the following NEP Reports:
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Benoit Pauwels).
If references are entirely missing, you can add them using this form.