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 |
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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. |
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ISSN: | 0178-8051 1432-2064 |
DOI: | 10.1007/s00440-024-01294-0 |