Stein’s method for multivariate continuous distributions and applications

Abstract: Stein’s method is a key method for assessing distributional distance, mainly for one-dimensional distributions. In this talk we provide a general approach to Stein’s method for multivariate continuous distributions. Among the applications we consider is the Wasserstein distance between two continuous probability distributions under the assumption of existence of a Poincare constant.

This is joint work with Guillaume Mijoule (INRIA Paris) and Yvik Swan (Liege).

statistics theory

Audience: researchers in the topic

Stochastics and Statistics Seminar Series

Series comments: Description: MIT seminar on statistics, data science and related topics