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An extension of Stein’s method incorporating independence

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  • Balašev-Samarski, Aleksandar
  • Mansouri, Abdol-Reza

Abstract

We extend Stein’s method to include independence with respect to an auxiliary random variable, for any law for which a Stein characterization does exist. This extends the current literature on the problem. Using tools from the Malliavin calculus, an application to the law of the invariant measure of an ergodic diffusion is given to illustrate the theory.

Suggested Citation

  • Balašev-Samarski, Aleksandar & Mansouri, Abdol-Reza, 2026. "An extension of Stein’s method incorporating independence," Statistics & Probability Letters, Elsevier, vol. 237(C).
    • Handle: RePEc:eee:stapro:v:237:y:2026:i:c:s0167715226001793
    DOI: 10.1016/j.spl.2026.110815
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