A CLT in Stein's Distance for Generalized Wishart Matrices and Higher-Order Tensors

We study the a central limit theorem for sums of independent tensor powers, 1/√d Σi=1d Xi⊗p. We focus on the high-dimensional regime where Xi ∈ ℝn and n may scale with d. Our main result is a proposed threshold for convergence. Specifically, we show that, under some regularity assumption, if n2p-1 ≪...

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Bibliographic Details
Main Author: Mikulincer, D. (Author)
Format: Article
Language:English
Published: Oxford University Press 2022
Online Access:View Fulltext in Publisher
Description
Summary:We study the a central limit theorem for sums of independent tensor powers, 1/√d Σi=1d Xi⊗p. We focus on the high-dimensional regime where Xi ∈ ℝn and n may scale with d. Our main result is a proposed threshold for convergence. Specifically, we show that, under some regularity assumption, if n2p-1 ≪ d, 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 Xi⊗p. © 2021 The Author(s).
ISBN:10737928 (ISSN)
DOI:10.1093/imrn/rnaa336