Stein’s identities and the related topics: an instructive explanation on shrinkage, characterization, normal approximation and goodness-of-fit

The Stein-type identities are widely recognized for their substantial utility and potency in deriving shrinkage estimators improving on crude estimators in normal, gamma, Poisson, and negative binomial distributions. Additionally, these identities serve to characterize these distributions themselves. The Stein identities are also used to demonstrate normal approximation. Moreover, they are instrumental in constructing statistical tests to assess the goodness-of-fit for normality, exponentiality, and Poissonity of distributions. This article offers an instructive and comprehensive explanation of the applications of Stein-type identities in the aforementioned contexts.