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Victor-Emmanuel Brunel (CREST) – "Stein's method and Berry-Esseen bounds"

March 4, 2020 @ 2:00 pm - 3:00 pm | Organizers: , François-Pierre Paty, Nicolas Schreuder
The Statistics-Econometrics-Machine Learning Seminar.
Time: 14:00 pm – 15:00 pm
Date: 4th of March 2020
Place: Room 3001.
Victor-Emmanuel Brunel (CREST) – “Stein’s method and Berry-Esseen bounds”
Abstract : I will present the fundamentals of Stein’s method, based on fairly simple functional equations. This method allows to prove central limit theorems, as well as finite sample approximation bounds such as the well-known Berry-Esseen bounds for normal approximations. It is a very simple yet elegant method which extends far beyond the case of normal approximations for sum of independent variables: It also yields Berry-Esseen type bounds for more general random variables (such as the number of triangles in an Erdös-Rényi graph), as well as finite sample bounds for exponential, or Poisson, or other asymptotic approximations.