# A NEW METHOD OF NORMAL APPROXIMATION

@article{Chatterjee2006ANM, title={A NEW METHOD OF NORMAL APPROXIMATION}, author={Sourav Chatterjee}, journal={Annals of Probability}, year={2006}, volume={36}, pages={1584-1610} }

We introduce a new version of Stein's method that reduces a large class of normal approximation problems to variance bounding exercises, thus making a connection between central limit theorems and concentration of measure. Unlike Skorokhod embeddings, the object whose variance must be bounded has an explicit formula that makes it possible to carry out the program more easily. As an application, we derive a general CLT for functions that are obtained as combinations of many local contributions…

## 151 Citations

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