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Pré-Publication, Document De Travail Année : 2017

Stein characterizations for linear combinations of gamma random variables

Benjamin Arras
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Yvik Swan
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Résumé

In this paper we propose a new, simple and explicit mechanism allowing to derive Stein operators for random variables whose characteristic function satisfies a simple ODE. We apply this to study random variables which can be represented as linear combinations of (non necessarily independent) gamma distributed random variables. The connection with Malliavin calculus for random variables in the second Wiener chaos is detailed. An application to McKay Type I random variables is also outlined.

Dates et versions

hal-01612071 , version 1 (06-10-2017)

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Benjamin Arras, Ehsan Azmoodeh, Guillaume Poly, Yvik Swan. Stein characterizations for linear combinations of gamma random variables. 2017. ⟨hal-01612071⟩
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