A unified approach to Stein characterizations

Christophe Ley and Yvik Swan

Working Papers ECARES from ULB -- Universite Libre de Bruxelles

Abstract: This article deals with Stein characterizations of probability distributions. We provide a general framework for interpreting these in terms of the parameters of the underlying distribution. In order to do so we introduce two concepts (a class of functions and an operator) which generalize those which were developed in the 70’s by Charles Stein and Louis Chen for characterizing the Gaussian and the Poisson distributions. Our methodology (i) allows for writing many (if not all) known univariate Stein characterizations, (ii) permits to identify clearly minimal conditions under which these results hold and (iii) provides a straightforward tool for constructing new Stein characterizations. Our parametric interpretation of Stein characterizations also raises a number of questions which we outline at the end of the paper.

Keywords: characterization theorem; Stein characterizations; location and scale parameters; parameter of interest; generalized (standardized) score function (search for similar items in EconPapers)
Pages: 26 p.
Date: 2011
New Economics Papers: this item is included in nep-ecm
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