IDEAS home Printed from https://ideas.repec.org/p/eca/wpaper/2013-174858.html
   My bibliography  Save this paper

Approximate Computation of Expectations: the Canonical Stein Operator

Author

Listed:
  • Christophe Ley
  • Gesine Reinert
  • Yves-Caoimhin Swan

Abstract

No abstract is available for this item.

Suggested Citation

  • Christophe Ley & Gesine Reinert & Yves-Caoimhin Swan, 2014. "Approximate Computation of Expectations: the Canonical Stein Operator," Working Papers ECARES ECARES 2014-36, ULB -- Universite Libre de Bruxelles.
  • Handle: RePEc:eca:wpaper:2013/174858
    as

    Download full text from publisher

    File URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/174858/1/2014-36-LEY_REINERT_SWAN-approximate.pdf
    Download Restriction: info:eu-repo/semantics/openAccess

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Christophe Ley & Yves-Caoimhin Swan, 2013. "Parametric Stein Operators and Variance Bounds," Working Papers ECARES ECARES 2013-28, ULB -- Universite Libre de Bruxelles.
    2. Alison L. Gibbs & Francis Edward Su, 2002. "On Choosing and Bounding Probability Metrics," International Statistical Review, International Statistical Institute, vol. 70(3), pages 419-435, December.
    3. Ehm, Werner, 1991. "Binomial approximation to the Poisson binomial distribution," Statistics & Probability Letters, Elsevier, vol. 11(1), pages 7-16, January.
    4. 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.
    5. Cacoullos, T. & Papathanasiou, V., 1989. "Characterizations of distributions by variance bounds," Statistics & Probability Letters, Elsevier, vol. 7(5), pages 351-356, April.
    6. R. Korwar, 1991. "On characterizations of distributions by mean absolute deviation and variance bounds," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 43(2), pages 287-295, June.
    7. Claude Lefèvre & Vasilis Papathanasiou & Sergey Utev, 2002. "Generalized Pearson Distributions and Related Characterization Problems," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 54(4), pages 731-742, December.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. 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.
    2. Ley, Christophe & Swan, Yvik, 2016. "A general parametric Stein characterization," Statistics & Probability Letters, Elsevier, vol. 111(C), pages 67-71.

    More about this item

    Keywords

    density approach; stein's method; comparison of distribution;

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eca:wpaper:2013/174858. See general 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). General contact details of provider: http://edirc.repec.org/data/arulbbe.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.