Stein's method for normal approximation in Wasserstein distances with application to the multivariate central limit theorem

DOI10.1007/S00440-020-00989-4zbMath1456.60059arXiv1905.13615OpenAlexW3047998341MaRDI QIDQ2210744

Thomas Bonis

Publication date: 8 November 2020

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1905.13615

zbMATH Keywords

Stein's methodnormal approximationWasserstein distances

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Central limit and other weak theorems (60F05) Variational problems in a geometric measure-theoretic setting (49Q20) Inequalities involving derivatives and differential and integral operators (26D10)

Related Items (15)

Notes on the dimension dependence in high-dimensional central limit theorems for hyperrectangles ⋮ A fluctuation result for the displacement in the optimal matching problem ⋮ Quadratic transportation cost in the conditional central limit theorem for dependent sequences ⋮ Optimal bounds in normal approximation for many interacting worlds ⋮ Diffusive limits of Lipschitz functionals of Poisson measures ⋮ Wasserstein-\(p\) bounds in the central limit theorem under local dependence ⋮ A central limit theorem for some generalized martingale arrays ⋮ Bounds in \(L^1\) Wasserstein distance on the normal approximation of general M-estimators ⋮ Stein's density method for multivariate continuous distributions ⋮ From \(p\)-Wasserstein bounds to moderate deviations ⋮ Covariance representations, \(L^p\)-Poincaré inequalities, Stein's kernels, and high-dimensional CLTs ⋮ The CLT in high dimensions: quantitative bounds via martingale embedding ⋮ Malliavin-Stein method: a survey of some recent developments ⋮ Wasserstein distance error bounds for the multivariate normal approximation of the maximum likelihood estimator ⋮ New error bounds in multivariate normal approximations via exchangeable pairs with applications to Wishart matrices and fourth moment theorems

Cites Work

• Unnamed Item
• Entropic approach to E. Rio's central limit theorem for \(W_2\) transport distance
• Upper bounds for minimal distances in the central limit theorem
• A note on the exchangeability condition in Stein's method
• Multivariate normal approximation with Stein's method of exchangeable pairs under a general linearity condition
• Stein's method and the zero bias transformation with application to simple random sampling
• Probability distance inequalities on Riemannian manifolds and path spaces.
• Generalization of an inequality by Talagrand and links with the logarithmic Sobolev inequality
• Optimum bounds for the distributions of martingales in Banach spaces
• Existence of Stein kernels under a spectral gap, and discrepancy bounds
• Stein kernels and moment maps
• Stein's method, logarithmic Sobolev and transport inequalities
• A high-dimensional CLT in \(\mathcal {W}_2\) distance with near optimal convergence rate
• Multivariate normal approximations by Stein's method and size bias couplings
• Analysis and Geometry of Markov Diffusion Operators
• Optimal Transport

This page was built for publication: Stein's method for normal approximation in Wasserstein distances with application to the multivariate central limit theorem