AbstractExplicit bounds are given for the Kolmogorov and Wasserstein distances between a mixture of normal distributions, by which we mean that the conditional distribution given some
$\sigma$
-algebra is normal, and a normal distribution with properly chosen parameter values. The bounds depend only on the first two moments of the first two conditional moments given the
$\sigma$
-algebra. The proof is based on Stein’s method. As an application, we consider the Yule–Ornstein–Uhlenbeck model, used in the field of phylogenetic comparative methods. We obtain bounds for both distances between the distribution of the average value of a phenotypic trait over n related species, and a normal distribution. The bounds imply and extend earlier limit theorems by Bartoszek and Sagitov.
On the Product of Inverse Wishart and Normal Distributions with Applications to Discriminant Analysis and Portfolio Theory