Bounding Kolmogorov distances through Wasserstein and related integral probability metrics
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Publication:2685246
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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