
arXiv: 2207.14536
Let $X_1,\dots,X_n$ be i.i.d. log-concave random vectors in $\mathbb R^d$ with mean 0 and covariance matrix $Σ$. We study the problem of quantifying the normal approximation error for $W=n^{-1/2}\sum_{i=1}^nX_i$ with explicit dependence on the dimension $d$. Specifically, without any restriction on $Σ$, we show that the approximation error over rectangles in $\mathbb R^d$ is bounded by $C(\log^{13}(dn)/n)^{1/2}$ for some universal constant $C$. Moreover, if the Kannan-Lovász-Simonovits (KLS) spectral gap conjecture is true, this bound can be improved to $C(\log^{3}(dn)/n)^{1/2}$. This improved bound is optimal in terms of both $n$ and $d$ in the regime $\log n=O(\log d)$. We also give $p$-Wasserstein bounds with all $p\geq2$ and a Cramér type moderate deviation result for this normal approximation error, and they are all optimal under the KLS conjecture. To prove these bounds, we develop a new Gaussian coupling inequality that gives almost dimension-free bounds for projected versions of $p$-Wasserstein distance for every $p\geq2$. We prove this coupling inequality by combining Stein's method and Eldan's stochastic localization procedure.
37 pages. Some typos are corrected
Cramér type moderate deviations, Probability (math.PR), Central limit and other weak theorems, Approximations to statistical distributions (nonasymptotic), 60F05, 60J60, 62E17, stochastic localization, FOS: Mathematics, Stein's method, \(p\)-Wasserstein distance, coupling, Diffusion processes, Föllmer process, Mathematics - Probability
Cramér type moderate deviations, Probability (math.PR), Central limit and other weak theorems, Approximations to statistical distributions (nonasymptotic), 60F05, 60J60, 62E17, stochastic localization, FOS: Mathematics, Stein's method, \(p\)-Wasserstein distance, coupling, Diffusion processes, Föllmer process, Mathematics - Probability
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