• DOI:10.2307/3215259
• Corpus ID: 17954805

Multivariate normal approximations by Stein's method and size bias couplings

@article{Goldstein1996MultivariateNA,
  title={Multivariate normal approximations by Stein's method and size bias couplings},
  author={Larry Goldstein and Yosef Rinott},
  journal={Journal of Applied Probability},
  year={1996},
  volume={33},
  pages={1 - 17}
}

• L. Goldstein, Y. Rinott
• Published 1 March 1996
• Mathematics
• Journal of Applied Probability

Stein's method is used to obtain two theorems on multivariate normal approximation. Our main theorem, Theorem 1.2, provides a bound on the distance to normality for any non-negative random vector. Theorem 1.2 requires multivariate size bias coupling, which we discuss in studying the approximation of distributions of sums of dependent random vectors. In the univariate case, we briefly illustrate this approach for certain sums of nonlinear functions of multivariate normal variables. As a second illustration, we show that the multivariate distribution counting the number of vertices with given degrees in certain random graphs is asymptotically multivariate normal and obtain a bound on the rate of convergence. Both examples demonstrate that this approach may be suitable for situations involving non-local dependence. We also present Theorem 1.4 for sums of vectors having a local type of dependence. We apply this theorem to obtain a multivariate normal approximation for the distribution of the random p-vector, which counts the number of edges in a fixed graph both of whose vertices have the same given color when each vertex is colored by one of p colors independently. All normal approximation results presented here do not require an ordering of the summands related to the dependence structure. This is in contrast to hypotheses of classical central limit theorems and examples, which involve for example, martingale, Markov chain or various mixing assumptions.