Bounding Kolmogorov distances through Wasserstein and related integral probability metrics (Q2685246): Difference between revisions
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Revision as of 23:30, 19 March 2024
scientific article
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English | Bounding Kolmogorov distances through Wasserstein and related integral probability metrics |
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Bounding Kolmogorov distances through Wasserstein and related integral probability metrics (English)
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20 February 2023
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The authors provide general upper bounds on the Kolmogorov distance between two probability distributions in terms of the distance between these distributions as measured with respect to either the Wasserstein or the smooth Wasserstein metrics. The given bounds generalise those present in the literature and, as an application, are used in order to extract Kolmogoroov distance bounds from multivariate normal, beta and variance-gamma approximations that have been established in the literature on Stein's method.
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Kolmogorov distance
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Wasserstein distance
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integral probability metric
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inequality
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approximation
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Stein's method
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