English

An invariance principle under the total variation distance

Probability 2014-12-30 v1

Abstract

Let X1,X2,X_1,X_2,\ldots be a sequence of i.i.d. random variables, with mean zero and variance one. Let Wn=(X1++Xn)/nW_n=(X_1+\ldots+X_n)/\sqrt{n}. An old and celebrated result of Prohorov asserts that WnW_n converges in total variation to the standard Gaussian distribution if and only if Wn0W_{n_0} has an absolutely continuous component for some n0n_0. In the present paper, we give yet another proof and extend Prohorov's theorem to a situation where, instead of WnW_n, we consider more generally a sequence of homogoneous polynomials in the XiX_i. More precisely, we exhibit conditions for a recent invariance principle proved by Mossel, O'Donnel and Oleszkiewicz to hold under the total variation distance. There are many works about CLT under various metrics in the literature, but the present one seems to be the first attempt to deal with homogeneous polynomials in the XiX_i with degree strictly greater than one.

Keywords

Cite

@article{arxiv.1310.4266,
  title  = {An invariance principle under the total variation distance},
  author = {Ivan Nourdin and Guillaume Poly},
  journal= {arXiv preprint arXiv:1310.4266},
  year   = {2014}
}

Comments

15 pages

R2 v1 2026-06-22T01:47:54.999Z