Approximate Computation of Expectations: the Canonical Stein Operator
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References listed on IDEAS
- Ehm, Werner, 1991. "Binomial approximation to the Poisson binomial distribution," Statistics & Probability Letters, Elsevier, vol. 11(1), pages 7-16, January.
- Yosef Rinott & Vladimir Rotar, 2000. "Normal approximations by Stein's method," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 23(1), pages 15-29.
- Cacoullos, T. & Papathanasiou, V., 1989. "Characterizations of distributions by variance bounds," Statistics & Probability Letters, Elsevier, vol. 7(5), pages 351-356, April.
- Christophe Ley & Yves-Caoimhin Swan, 2013. "Parametric Stein Operators and Variance Bounds," Working Papers ECARES ECARES 2013-28, ULB -- Universite Libre de Bruxelles.
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- Ley, Christophe & Swan, Yvik, 2016. "A general parametric Stein characterization," Statistics & Probability Letters, Elsevier, vol. 111(C), pages 67-71.
- Badescu, Alexandru & Cui, Zhenyu & Ortega, Juan-Pablo, 2016. "A note on the Wang transform for stochastic volatility pricing models," Finance Research Letters, Elsevier, vol. 19(C), pages 189-196.
More about this item
Keywordsdensity approach; stein's method; comparison of distribution;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-09-05 (All new papers)
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