Fundamentals of Stein's method

Abstract

This survey article discusses the main concepts and techniques of Stein's method for distributional approximation by the normal, Poisson, exponential, and geometric distributions, and also its relation to concentra-tion of measure inequalities. The material is presented at a level accessible to beginning graduate students studying probability with the main empha-sis on the themes that are common to these topics and also to much of the Stein's method literature.