New error bounds in multivariate normal approximations via exchangeable pairs with applications to Wishart matrices and fourth moment theorems (2004.02101v2)

Abstract: We extend Stein's celebrated Wasserstein bound for normal approximation via exchangeable pairs to the multi-dimensional setting. As an intermediate step, we exploit the symmetry of exchangeable pairs to obtain an error bound for smooth test functions. We also obtain a continuous version of the multi-dimensional Wasserstein bound in terms of fourth moments. We apply the main results to multivariate normal approximations to Wishart matrices of size $n$ and degree $d$, where we obtain the optimal convergence rate $\sqrt{n^3/d}$ under only moment assumptions, and to quadratic forms and Poisson functionals, where we strengthen a few of the fourth moment bounds in the literature on the Wasserstein distance.