The CLT in high dimensions: quantitative bounds via martingale embedding (Q2212600)

The paper introduces a new method for obtaining quantitative convergence rates for the central limit theorem in a high-dimensional setting. The approach is based on martingale embeddings. The method is applied to derive new bounds for convergence in transportation distance and entropy. It improves the best known convergence rate in quadratic Wasserstein transportation distance for bounded random vectors. For general log-concave random vectors the authors derive a nonasymptotic convergence rate for the entropic CLT in an arbitrary dimension. In addition, they provide an improved bound for convergence in transportation distance under a log-concavity assumption and improvements under the assumption of strong log-concavity.