On Strong Embeddings by Stein's Method

Strong embeddings, that is, couplings between a partial sum process of a sequence of random variables and a Brownian motion, have found numerous applications in probability and statistics. We extend Chatterjee's novel use of Stein's method for {-1, +1} valued variables to a general class of discrete distributions, and provide log n rates for the coupling of partial sums of independent variables to a Brownian motion, and results for coupling sums of suitably standardized exchangeable variables to a Brownian bridge.