Books

Dedicated monographs

  • Arras, B., & Houdré, C. (2019). On Stein's Method for Infinitely Divisible Laws with Finite First Moment. Springer.
  • Nourdin, I., & Peccati, G. (2012). Normal approximations with Malliavin calculus: from Stein's method to universality (Vol. 192). Cambridge University Press.
  • Chen, L. H., Goldstein, L., & Shao, Q. M. (2010). Normal approximation by Stein’s method. Springer Science & Business Media.
  • Barbour, A. D., & Chen, L. H. Y. (2005). An introduction to Stein's method (Vol. 4). World Scientific. Chicago
  • Stein, C., Barbour, A. D., & Chen, L. H. Y. (2005). Stein's Method and Applications (Vol. 5). World Scientific. Chicago
  • Diaconis, P., & Holmes, S. (2004). Stein's method: expository lectures and applications. IMS.
  • Barbour, A. D., Holst, L., & Janson, S. (1992). Poisson approximation (Vol. 2). The Clarendon Press Oxford University Press.
  • Stein, C. (1986). Approximate computation of expectations. Lecture Notes-Monograph Series, 7, i-164.

Others

  • Čekanavičius, V. (2016). Approximation methods in probability theory. Springer. (Chapter 11)
  • Johnson, O. T. (2004). Information theory and the central limit theorem. Imperial College Press.
  • Ross, S. M., & Peköz, E. A. (2007). A second course in probability. www. ProbabilityBookstore. com. (Chapter 2)