Translator Disclaimer
2013 Stein's density approach and information inequalities
Christophe Ley, Yvik Swan
Author Affiliations +
Electron. Commun. Probab. 18: 1-14 (2013). DOI: 10.1214/ECP.v18-2578


We provide a new perspective on Stein's so-called density approach by introducing a new operator and characterizing class which are valid for a much wider family of probability distributions on the real line. We prove an elementary factorization property of this operator and propose a new Stein identity which we use to derive information inequalities in terms of what we call the "generalized Fisher information distance". We provide explicit bounds on the constants appearing in these inequalities for several important cases. We conclude with a comparison between our results and known results in the Gaussian case, hereby improving on several known inequalities from the literature.


Download Citation

Christophe Ley. Yvik Swan. "Stein's density approach and information inequalities." Electron. Commun. Probab. 18 1 - 14, 2013.


Accepted: 27 January 2013; Published: 2013
First available in Project Euclid: 7 June 2016

zbMATH: 1307.60009
MathSciNet: MR3019670
Digital Object Identifier: 10.1214/ECP.v18-2578

Primary: 60F05
Secondary: 94A17


Back to Top