Collection of exercises for Stein's method

Partha and I are in the process of creating a large collection of exercises for Stein's method.  We hope that this would be of use to anyone interested in learning/teaching this subject.  If you are have an exercise in mind - do not hesitate to suggest it.

• The current version of the collection is available here  [last update: May 2, 2024].

So far we have collected 84 exercises.

I update this file regularly, so comeback here time to time to see the newest version.

Lecture notes

• Lecture notes for RTG Lecture Series "Introduction to Steins Method" - link.

Short notes

Motivated by S. Chatterjee's proof of the Efron-Stein inequality [book, Theorem 7.1] Partha S. Dey and I created a proof of McDiarmid's inequality that does not use martingales

• New proof of McDiarmid's inequality - link.