Decisions in Economics and Finance

, Volume 23, Issue 1, pp 15–29

Normal approximations by Stein's method

  • Yosef Rinott
  • Vladimir Rotar

Abstract.

Stein's method for normal approximations is explained, with some examples and applications. In the study of the asymptotic distribution of the sum of dependent random variables, Stein's method may be a very useful tool. We have attempted to write an elementary introduction. For more advanced introductions to Stein's method, see Stein (1986), Barbour (1997) and Chen (1998).

Mathematics Subject Classification (2000): 60F05, 91A06; 62E20, 60J10 
Journal of Economic Literature Classification: C00, C70 

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Copyright information

© Springer-Verlag Italia 2000

Authors and Affiliations

  • Yosef Rinott
    • 1
  • Vladimir Rotar
    • 2
  1. 1.UCSD and Hebrew University¶e-mail: rinott@mscc.huji.ac.ilIL
  2. 2.SDSU and Central Economic-Mathematical Institute, Russian Academy of Sciences¶e-mail: vrotar@euclid.ucsd.eduRO

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