On algebraic Stein operators for Gaussian polynomials

Abstract

The first essential ingredient to build up Stein’s method for a continuous target distribution is to identify a so-called Stein operator, namely a linear differential operator with polynomial coefficients. In this paper, we introduce the notion of algebraic Stein operators (see Definition 3.4), and provide a novel algebraic method to find all the algebraic Stein operators up to a given order and polynomial degree for a target random variable of the form $Y=h(X)$, where $X=(X_1,\dots ,X_d)$ has i.i.d. standard Gaussian components and $h\in \mathbb{K}[X]$ is a polynomial with coefficients in the ring $\mathbb{K}$. Our approach links the existence of an algebraic Stein operator with null controllability of a certain linear discrete system. A $\mathtt{MATLAB}$ code checks the null controllability up to a given finite time T (the order of the differential operator), and provides all null control sequences (polynomial coefficients of the differential operator) up to a given maximum degree m. This is the first paper that connects Stein’s method with computational algebra to find Stein operators for highly complex probability distributions, such as $H_{20}(X_1)$, where $H_p$ is the p-th Hermite polynomial. Some examples of Stein operators for $H_p(X_1)$, $p=3,4,5,6$, are gathered in the Appendix and many other examples are given in the Supplementary Information.