Weighted sums and Berry-Esseen type estimates in free probability theory

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 n - 1 2 with high probability. Replacin...

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Veröffentlicht in:Probability theory and related fields 2024-12, Vol.190 (3-4), p.803-879
1. Verfasser: Neufeld, Leonie
Format: Artikel
Sprache:eng
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Zusammenfassung: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 n - 1 2 with high probability. Replacing the Kolmogorov distance by a weaker pseudometric, we obtain a rate of convergence of order n - 1 , 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.
ISSN:0178-8051
1432-2064
DOI:10.1007/s00440-024-01294-0