A CLT in Stein's distance for generalized Wishart matrices and higher-order tensors

DOI10.1093/IMRN/RNAA336MaRDI QIDQ5082284zbMATH OpenOpenAlexWikidataFDO

Authors Dan Mikulincer

Publication date 16 June 2022

Published in IMRN. International Mathematics Research Notices (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2002.10846

zbMATH Keywords

central limit theoremStein's methodtensor powers

Mathematics Subject Classification ID

Multilinear algebra, tensor calculus (15A69) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05)

Abstract: We study the central limit theorem for sums of independent tensor powers, $frac1sqrtdsumlimit{s}_{i=1}^d{X}_i^{otimesp}$. We focus on the high-dimensional regime where $X_{i}inmathbb{R}^n$ and $n$ may scale with $d$. Our main result is a proposed threshold for convergence. Specifically, we show that, under some regularity assumption, if $n^{2p-1}ggd$, then the normalized sum converges to a Gaussian. The results apply, among others, to symmetric uniform log-concave measures and to product measures. This generalizes several results found in the literature. Our main technique is a novel application of optimal transport to Stein's method which accounts for the low dimensional structure which is inherent in $X_i^{otimesp}$.

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Cited in

(10)

• Limit behavior in high-dimensional regime for the Wishart tensors in Wiener chaos
• Entropic CLT and phase transition in high-dimensional Wishart matrices
• A high-dimensional CLT in \(\mathcal {W}_2\) distance with near optimal convergence rate
• High-dimensional regimes of non-stationary Gaussian correlated Wishart matrices
• The Brownian transport map
• Phase transition in noisy high-dimensional random geometric graphs
• Threshold for detecting high dimensional geometry in anisotropic random geometric graphs
• High-dimensional regime for Wishart matrices based on the increments of the solution to the stochastic heat equation
• Transportation onto log-Lipschitz perturbations
• Limit behavior in high-dimensional regime for Wishart tensors with Rosenblatt entries

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