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arXiv · 1701.02966

Stein's method for dynamical systems

Olli Hella·Juho Leppänen·Mikko Stenlund
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Abstract

We present an adaptation of Stein's method of normal approximation to the study of both discrete- and continuous-time dynamical systems. We obtain new correlation-decay conditions on dynamical systems for a multivariate central limit theorem augmented by a rate of convergence. We then present a scheme for checking these conditions in actual examples. The principal contribution of our paper is the method, which yields a convergence rate essentially with the same amount of work as the central limit theorem, together with a multiplicative constant that can be computed directly from the assumptions.

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Olli Hella, Juho Leppänen, Mikko Stenlund. 2017-01-11. Stein's method for dynamical systems. https://arxiv.org/abs/1701.02966

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