Normal approximations by Stein's method

Yosef Rinott and Vladimir Rotar

Decisions in Economics and Finance, 2000, vol. 23, issue 1, 15-29

Abstract: Stein's method for normal approximations is explained, with some examples and applications. In the study of the asymptotic distribution of the sum of dependent random variables, Stein's method may be a very useful tool. We have attempted to write an elementary introduction. For more advanced introductions to Stein's method, see Stein (1986), Barbour (1997) and Chen (1998).

Date: 2000-07-24
Note: Received: 6 December 1999
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