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}
}
  • S. Chatterjee
  • Published 8 November 2006
  • Mathematics
  • Annals of Probability
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… 
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References

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MULTIVARIATE NORMAL APPROXIMATION USING EXCHANGEABLE PAIRS
Since the introduction of Stein's method in the early 1970s, much research has been done in extending and strengthening it; however, there does not exist a version of Stein's original method of…
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