It is used to prove that the distribution of some random variable X_n

is close to its limiting distribution.

Normal is a special case.

Yes Stein’s method extends to other distributions too.

One has to develop the correct differential equation.

There is a chapter on this in the Chen, Goldstein, Shao book.

Whoops, I think I got the bijection backwards: it should be Z = q(F(Z’)), where q is now the quantile function of the Normal distribution.

]]>It looks fine in my browser.

Maybe it is browser dependent?