Chen, Louis H. Y.; Goldstein, Larry; Shao, Qi-Man Normal approximation by Stein’s method. (English) Zbl 1213.62027 Probability and Its Applications. Berlin: Springer (ISBN 978-3-642-15006-7/hbk; 978-3-642-26565-5/pbk; 978-3-642-15007-4/ebook). xii, 405 p. (2011). This book demonstrates the usefulness of Stein’s characteristic equation for the family of normal distributions [C. Stein, Proc. 6th Berkeley Sympos. Math. Statist. Probab., Univ. Calif. 1970, 2, 583–602 (1972; Zbl 0278.60026)] for deriving normal approximation results in a variety of standard and non-standard situations. After laying out the basics of Stein’s method for proving asymptotic normality (Chapters 1 and 2), the authors are first concerned with reproducing J.W. Lindeberg’s version of the central limit theorem [Math. Zeitschr. 15, 211–225 (1922; JFM 48.0602.04)] as well as Berry-Esseen bounds in the \(L^\infty\) norm (Kolmogorov distance) for normalized sums of independent random variables with Stein’s technique (Chapter 3). Thereafter, the methods of proof are utilized and extended to establish normal approximation results (in Wasserstein (\(L^1\)) and Kolmogorov (\(L^\infty\)) distances) for a collection of rather diverse dependent situations (Chapters 4–6). The second part of the book (Chapters 7–12) deals with selected advanced topics to which Stein’s idea can be transferred. In particular, discretized normal approximations, non-uniform bounds, nonlinear statistics, moderate deviations, and the multivariate case are studied in detail. The book concludes with material that goes beyond normal approximations on \(\mathbb{R}^p\). Chapter 13 considers non-normal approximations and Chapter 14 deals with group characters and the Malliavin calculus. Reviewer: Thorsten Dickhaus (Berlin) Cited in 2 ReviewsCited in 261 Documents MSC: 62E20 Asymptotic distribution theory in statistics 62-02 Research exposition (monographs, survey articles) pertaining to statistics 60-02 Research exposition (monographs, survey articles) pertaining to probability theory 62E17 Approximations to statistical distributions (nonasymptotic) 60G50 Sums of independent random variables; random walks 60F05 Central limit and other weak theorems 65D99 Numerical approximation and computational geometry (primarily algorithms) Keywords:Berry-Esseen bounds; bounded couplings; central limit theorem; Kolmogorov distance; Wasserstein distance Citations:Zbl 0278.60026; JFM 48.0602.04 PDFBibTeX XMLCite \textit{L. H. Y. Chen} et al., Normal approximation by Stein's method. Berlin: Springer (2011; Zbl 1213.62027) Full Text: DOI