On a connection between Stein characterizations and Fisher information

2011/11/09 by Christophe Ley, Ley, Christophe, Yvik Swan +1
Mathematics · #Random Matrices and Applications #Point processes and geometric inequalities #Advanced Combinatorial Mathematics

paper · pdf · doi:10.48550/arxiv.1111.2368

Abstract

We generalize the so-called density approach to Stein characterizations of probability distributions. We prove an elementary factorization property of the resulting Stein operator in terms of a generalized (standardized) score function. We use this result to connect Stein characterizations with information distances such as the generalized (standardized) Fisher information.

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