Translator Disclaimer
May 2020 Stein characterizations for linear combinations of gamma random variables
Benjamin Arras, Ehsan Azmoodeh, Guillaume Poly, Yvik Swan
Braz. J. Probab. Stat. 34(2): 394-413 (May 2020). DOI: 10.1214/18-BJPS420

Abstract

In this paper we propose a new, simple and explicit mechanism allowing to derive Stein operators for random variables whose characteristic function satisfies a simple ODE. We apply this to study random variables which can be represented as linear combinations of (not necessarily independent) gamma distributed random variables. The connection with Malliavin calculus for random variables in the second Wiener chaos is detailed. An application to McKay Type I random variables is also outlined.

Citation

Download Citation

Benjamin Arras. Ehsan Azmoodeh. Guillaume Poly. Yvik Swan. "Stein characterizations for linear combinations of gamma random variables." Braz. J. Probab. Stat. 34 (2) 394 - 413, May 2020. https://doi.org/10.1214/18-BJPS420

Information

Received: 1 March 2018; Accepted: 1 September 2018; Published: May 2020
First available in Project Euclid: 4 May 2020

zbMATH: 07232935
MathSciNet: MR4093265
Digital Object Identifier: 10.1214/18-BJPS420

Rights: Copyright © 2020 Brazilian Statistical Association

JOURNAL ARTICLE
20 PAGES

This article is only available to subscribers.
It is not available for individual sale.
+ SAVE TO MY LIBRARY

SHARE
Vol.34 • No. 2 • May 2020
Back to Top