arXiv · 2005.05208
Wasserstein distance error bounds for the multivariate normal approximation of the maximum likelihood estimator
Abstract
We obtain explicit $p$-Wasserstein distance error bounds between the distribution of the multi-parameter MLE and the multivariate normal distribution. Our general bounds are given for possibly high-dimensional, independent and identically distributed random vectors. Our general bounds are of the optimal $\mathcal{O}(n^{-1/2})$ order. Explicit numerical constants are given when $p\in(1,2]$, and in the case $p>2$ the bounds are explicit up to a constant factor that only depends on $p$. We apply our general bounds to derive Wasserstein distance error bounds for the multivariate normal approximation of the MLE in several settings; these being single-parameter exponential families, the normal distribution under canonical parametrisation, and the multivariate normal distribution under non-canonical parametrisation. In addition, we provide upper bounds with respect to the bounded Wasserstein distance when the MLE is implicitly defined.
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Andreas Anastasiou, Robert E. Gaunt. 2020-05-11. Wasserstein distance error bounds for the multivariate normal approximation of the maximum likelihood estimator. https://arxiv.org/abs/2005.05208
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