Strong Gaussian Approximation for the Sum of Random Vectors
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Abstract: This paper derives a new strong Gaussian approximation bound for the sum of independent random vectors. The approach relies on the optimal transport theory and yields extit{explicit} dependence on the dimension size and the sample size . This dependence establishes a new fundamental limit for all practical applications of statistical learning theory. Particularly, based on this bound, we prove approximation in distribution for the maximum norm in a high-dimensional setting ().
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