A note on the exchangeability condition in Stein's method

We show by a surprisingly simple argument that the exchangeability condition, which is key to the exchangeable pair approach in Stein's method for distributional approximation, can be omitted in many standard settings. This is achieved by replacing the usual antisymmetric function by a simpler one, for which only equality in distribution is required. In the case of normal approximation we also slightly improve the constants appearing in the previous results. For the Poisson approximation, a different antisymmetric function is used, and additional error terms are needed if the bound is to be extended beyond the exchangeable setting. (C) 2008 Elsevier B.V. All rights reserved.