arXiv · 2205.04621
Entropic CLT for Order Statistics
Abstract
It is well known that central order statistics exhibit a central limit behavior and converge to a Gaussian distribution as the sample size grows. This paper strengthens this known result by establishing an entropic version of the CLT that ensures a stronger mode of convergence using the relative entropy. In particular, an order $O(1/\sqrt{n})$ rate of convergence is established under mild conditions on the parent distribution of the sample generating the order statistics. To prove this result, ancillary results on order statistics are derived, which might be of independent interest.
Explore related subjects
Keep this discovery
Explore connections, maps & timelines
Martina Cardone, Alex Dytso, Cynthia Rush. 2022-05-10. Entropic CLT for Order Statistics. https://arxiv.org/abs/2205.04621
Cite the original work for its findings. Save a collection to share your selection of sources.