This article presents a review of Stein’s method applied to the case of discrete random variables. We attempt to complete one of Stein’s open problems, that of providing a discrete version for chapter 6 of his book. This is illustrated by first studying the mechanics of comparison between two distributions whose characterizing operators are known, for example the binomial and the Poisson. Then the case where one of the distributions has an unknown characterizing operator is tackled. This is done for the hypergeometric which is then compared to a binomial. Finally the general case of the comparison of two probability distributions that can be seen as the stationary distributions of two birth and death chains is treated and conditions of the validity of the method are conjectured.
Digital Object Identifier: 10.1214/lnms/1196283799