Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/103595
Title: Multivariate normal approximation with stein's method of exchangeable pairs under a general linearity condition
Authors: Reinert, G.
Röllin, A. 
Keywords: Exchangeable pairs
Multivariate normal approximation
Stein's method
Issue Date: Nov-2009
Citation: Reinert, G., Röllin, A. (2009-11). Multivariate normal approximation with stein's method of exchangeable pairs under a general linearity condition. Annals of Probability 37 (6) : 2150-2173. ScholarBank@NUS Repository.
Abstract: In this paper we establish a multivariate exchangeable pairs approach within the framework of Stein's method to assess distributional distances to potentially singular multivariate normal distributions. By extending the statistics into a higher-dimensional space, we also propose an embedding method which allows for a normal approximation even when the corresponding statistics of interest do not lend themselves easily to Stein's exchangeable pairs approach. To illustrate the method, we provide the examples of runs on the line as well as double-indexed permutation statistics. © Institute of Mathematical Statistics, 2009.
Source Title: Annals of Probability
URI: http://scholarbank.nus.edu.sg/handle/10635/103595
ISSN: 00911798
Appears in Collections:Staff Publications

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