Improved rates of convergence for the multivariate central limit theorem in Wasserstein distance

DOI10.1214/24-EJP1134zbMATH Open1547.60028MaRDI QIDQ6595693FDOQ6595693

Authors: Thomas Bonis 

Publication date: 30 August 2024

Published in: Electronic Journal of Probability (Search for Journal in Brave)

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zbMATH Keywords

central limit theorem\(p\)-Wasserstein distanceStein's methodmultivariate normal approximation

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Approximations to statistical distributions (nonasymptotic) (62E17)

Cites Work

• A high-dimensional CLT in \(\mathcal {W}_2\) distance with near optimal convergence rate
• Stein's method, logarithmic Sobolev and transport inequalities
• Optimum bounds for the distributions of martingales in Banach spaces
• Asymptotic constants for minimal distance in the central limit theorem
• Stein's method for normal approximation in Wasserstein distances with application to the multivariate central limit theorem
• Berry-Esseen bounds and Edgeworth expansions in the central limit theorem for transport distances
• Existence of Stein kernels under a spectral gap, and discrepancy bounds
• Stein kernels and moment maps
• New error bounds in multivariate normal approximations via exchangeable pairs with applications to Wishart matrices and fourth moment theorems
• From \(p\)-Wasserstein bounds to moderate deviations

Cited In (2)

• Wasserstein-\(p\) bounds in the central limit theorem under local dependence
• Covariance representations, \(L^p\)-Poincaré inequalities, Stein's kernels, and high-dimensional CLTs

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