Bounding the $$L^1$$ L 1 -Distance Between One-Dimensional Continuous and Discrete Distributions via Stein’s Method

Gilles Germain () and Yvik Swan ()
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Gilles Germain: Université libre de Bruxelles
Yvik Swan: Université libre de Bruxelles

Journal of Theoretical Probability, 2025, vol. 38, issue 1, 1-43

Abstract: Abstract We introduce a new version of Stein’s method of comparison of operators specifically tailored to the problem of bounding the $$L^1$$ L 1 (a.k.a. Wasserstein-1) distance between continuous and discrete distributions on the real line. Our approach rests on a new family of weighted discrete derivative operators, which we call bespoke derivatives. We also propose new bounds on the derivatives of the solutions of Stein equations for integrated Pearson random variables; this is a crucial step in Stein’s method. We apply our result to several examples, including the central limit theorem, Pólya–Eggenberger urn models, the empirical distribution of the ground state of a many-interacting-worlds harmonic oscillator, the stationary distribution for the number of genes in the Moran model, and the stationary distribution of the Erlang-C system. Whenever our bounds can be compared with bounds from the literature, our constants are sharper.

Keywords: Stein’s method; $$L^1$$ L 1 /Wasserstein-1 distance; Discrete derivative; Comparison of operators; 60E05; 60F05 (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s10959-024-01373-x

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