Weighted Sums and Berry-Esseen type estimates in Free Probability Theory
Abstract
We study weighted sums of free identically distributed self-adjoint random variables with weights chosen randomly from the unit sphere and show that the Kolmogorov distance between the distribution of such a weighted sum and Wigner's semicircle law is of order with high probability. Replacing the Kolmogorov distance by a weaker pseudometric, we obtain a rate of convergence of order , thus providing a free analog of the Klartag-Sodin result in classical probability theory. Moreover, we show that our ideas generalize to the setting of sums of free non-identically distributed bounded self-adjoint random variables leading to a new rate of convergence in the free central limit theorem.
Keywords
Cite
@article{arxiv.2303.06489,
title = {Weighted Sums and Berry-Esseen type estimates in Free Probability Theory},
author = {Leonie Neufeld},
journal= {arXiv preprint arXiv:2303.06489},
year = {2024}
}
Comments
52 pages, to appear in Probability Theory and Related Fields