English

Central Limit Theorem and convergence to stable laws in Mallows distance

Probability 2007-06-13 v2 Statistics Theory Statistics Theory

Abstract

We give a new proof of the classical Central Limit Theorem, in the Mallows (LrL^r-Wasserstein) distance. Our proof is elementary in the sense that it does not require complex analysis, but rather makes use of a simple subadditive inequality related to this metric. The key is to analyse the case where equality holds. We provide some results concerning rates of convergence. We also consider convergence to stable distributions, and obtain a bound on the rate of such convergence.

Keywords

Cite

@article{arxiv.math/0406218,
  title  = {Central Limit Theorem and convergence to stable laws in Mallows distance},
  author = {Oliver Johnson and Richard Samworth},
  journal= {arXiv preprint arXiv:math/0406218},
  year   = {2007}
}

Comments

21 pages; improved version - one result strengthened, exposition improved, paper to appear in Bernoulli

R2 v1 2026-07-22T17:06:33.375Z