On Stein operators for discrete approximations

In this paper, a new method based on probability generating functions is used to obtain multiple Stein operators for various random variables closely related to Poisson, binomial and negative binomial distributions. Also, Stein operators for certain compound distributions, where the random summand satisfies Panjer’s recurrence relation, are derived. A well-known perturbation approach for Stein’s method is used to obtain total variation bounds for the distributions mentioned above. The importance of such approximations is illustrated, for example, by the binomial convoluted with Poisson approximation to sums of independent and dependent indicator random variables.