Stein's method, logarithmic Sobolev and transport inequalities

DOI10.1007/S00039-015-0312-0zbMATH Open1350.60013arXiv1403.5855OpenAlexW1985089293MaRDI QIDQ2339746FDOQ2339746

Authors: Ivan Nourdin, Giovanni Peccati, Michel Ledoux 

Publication date: 2 April 2015

Published in: Geometric and Functional Analysis. GAFA (Search for Journal in Brave)

Abstract: We develop connections between Stein's approximation method, logarithmic Sobolev and transport inequalities by introducing a new class of functional inequalities involving the relative entropy, the Stein kernel, the relative Fisher information and the Wasserstein distance with respect to a given reference distribution on $mathbb{R}^d$. For the Gaussian model, the results improve upon the classical logarithmic Sobolev inequality and the Talagrand quadratic transportation cost inequality. Further examples of illustrations include multidimensional gamma distributions, beta distributions, as well as families of log-concave densities. As a by-product, the new inequalities are shown to be relevant towards convergence to equilibrium, concentration inequalities and entropic convergence expressed in terms of the Stein kernel. The tools rely on semigroup interpolation and bounds, in particular by means of the iterated gradients of the Markov generator with invariant measure the distribution under consideration. In a second part, motivated by the recent investigation by Nourdin, Peccati and Swan on Wiener chaoses, we address the issue of entropic bounds on multidimensional functionals $F$ with the Stein kernel via a set of data on $F$ and its gradients rather than on the Fisher information of the density. A natural framework for this investigation is given by the Markov Triple structure $(E,mu,Gamma)$ in which abstract Malliavin-type arguments may be developed and extend the Wiener chaos setting.

Full work available at URL: https://arxiv.org/abs/1403.5855

Recommendations

• Weighted Poincaré inequalities, concentration inequalities and tail bounds related to Stein kernels in dimension one
• Generalization of an inequality by Talagrand and links with the logarithmic Sobolev inequality
• A variational approach to some transport inequalities
• Stein's density approach and information inequalities
• On logarithmic Sobolev inequalities. With a preface of Dominique Bakry and Michel Ledoux

zbMATH Keywords

entropynormal approximationconcentration inequalityFisher information\(\Gamma\)-calculuslogarithmic Sobolev inequalityStein discrepancytransport inequalityconvergence to equilibriumStein kernel

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Inequalities; stochastic orderings (60E15) Measures of information, entropy (94A17) Inequalities involving derivatives and differential and integral operators (26D10)

Cites Work

• The Malliavin Calculus and Related Topics
• Concentration inequalities. A nonasymptotic theory of independence
• Optimal Transport
• Stein's method and the zero bias transformation with application to simple random sampling
• The concentration of measure phenomenon
• Normal Approximation by Stein’s Method
• Distributional and \(L^q\) norm inequalities for polynomials over convex bodies in \(\mathbb{R}^n\)
• Fluctuations of eigenvalues and second order Poincaré inequalities
• Title not available (Why is that?)
• Large deviations and the Malliavin calculus
• Normal approximations with Malliavin calculus. From Stein's method to universality
• Title not available (Why is that?)
• Stein's method for diffusion approximations
• Generalization of an inequality by Talagrand and links with the logarithmic Sobolev inequality
• Fisher information inequalities and the central limit theorem
• Matrix concentration inequalities via the method of exchangeable pairs
• Central limit theorems for multiple stochastic integrals and Malliavin calculus
• Title not available (Why is that?)
• Analysis and geometry of Markov diffusion operators
• On the rate of convergence in the multivariate CLT
• Entropy and the fourth moment phenomenon
• Fourth moment theorems for Markov diffusion generators
• Generalization of the Nualart-Peccati criterion
• Chaos of a Markov operator and the fourth moment condition
• Noncentral convergence of multiple integrals
• On the role of convexity in isoperimetry, spectral gap and concentration
• Variational inequalities with examples and an application to the central limit theorem
• Closed form summation for classical distributions: variations on a theme of de Moivre
• Transportation cost for Gaussian and other product measures
• Some inequalities satisfied by the quantities of information of Fisher and Shannon
• The convolution inequality for entropy powers
• On the rate of convergence in the entropic central limit theorem
• Fisher information and the central limit theorem
• Asymptotic independence of multiple Wiener-Itô integrals and the resulting limit laws
• Rate of convergence and Edgeworth-type expansion in the entropic central limit theorem
• Berry-Esseen bounds in the entropic central limit theorem
• Stein's method for concentration inequalities
• L'algèbre de Lie des gradients itérés d'un générateur markovien---développements de moyennes et entropies
• A new approach to strong embeddings

Cited In (53)

• Wasserstein-\(p\) bounds in the central limit theorem under local dependence
• Relaxing the Gaussian assumption in shrinkage and SURE in high dimension
• Covariance inequalities for convex and log-concave functions
• Free Stein kernels and an improvement of the free logarithmic Sobolev inequality
• Parametric Stein operators and variance bounds
• Stability estimates for invariant measures of diffusion processes, with applications to stability of moment measures and Stein kernels
• Wasserstein-2 bounds in normal approximation under local dependence
• Quantitative normal approximation of linear statistics of \(\beta \)-ensembles
• Stability for the logarithmic Sobolev inequality
• On Stein's method for multivariate self-decomposable laws with finite first moment
• A Stein deficit for the logarithmic Sobolev inequality
• High-dimensional central limit theorems by Stein's method
• Stein's method for normal approximation in Wasserstein distances with application to the multivariate central limit theorem
• Weighted Poincaré inequalities, concentration inequalities and tail bounds related to Stein kernels in dimension one
• Stein’s method of normal approximation for dynamical systems
• Multivariate approximations in Wasserstein distance by Stein's method and Bismut's formula
• Stein's method of normal approximation: some recollections and reflections
• Improved rates of convergence for the multivariate central limit theorem in Wasserstein distance
• Geometric sums, size biasing and zero biasing
• Scaling limit of the homogenization commutator for Gaussian coefficient fields
• On infinite covariance expansions
• Existence of Stein kernels under a spectral gap, and discrepancy bounds
• Stein kernels and moment maps
• A stroll along the gamma
• A quantitative fourth moment theorem in free probability theory
• Covariance representations, \(L^p\)-Poincaré inequalities, Stein's kernels, and high-dimensional CLTs
• The fourth moment theorem on the Poisson space
• A regularity method for lower bounds on the Lyapunov exponent for stochastic differential equations
• Higher-order Stein kernels for Gaussian approximation
• From \(p\)-Wasserstein bounds to moderate deviations
• A family of wave equations with some remarkable properties
• Malliavin-Stein method: a survey of some recent developments
• Bounds in \(L^1\) Wasserstein distance on the normal approximation of general M-estimators
• Stability of the Bakry-Émery theorem on \(\mathbb{R}^n\)
• Stein meets Malliavin in normal approximation
• Ornstein–Uhlenbeck operators and semigroups
• Higher-order pathwise theory of fluctuations in stochastic homogenization
• Stein's method meets computational statistics: a review of some recent developments
• An inequality for relative entropy and logarithmic Sobolev inequalities in Euclidean spaces
• Optimal bounds in normal approximation for many interacting worlds
• High-dimensional central limit theorems for homogeneous sums
• Stein approximation for functionals of independent random sequences
• Bounds on the Poincaré constant for convolution measures
• Stein's density method for multivariate continuous distributions
• Some inequalities on Riemannian manifolds linking entropy, Fisher information, Stein discrepancy and Wasserstein distance
• Approximation of stable law in Wasserstein-1 distance by Stein's method
• Superconvergence phenomenon in Wiener chaoses
• Recent advances in various fields of numerical probability
• Stein's density approach and information inequalities
• Eigenvalue inequalities for the Markov diffusion operator
• The Brownian transport map
• Sharp high-dimensional central limit theorems for log-concave distributions
• Rates of Fisher information convergence in the central limit theorem for nonlinear statistics

This page was built for publication: Stein's method, logarithmic Sobolev and transport inequalities

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2339746)