Stein’s method, logarithmic Sobolev and transport inequalities

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• 作者：Michel Ledoux ; Ivan Nourdin ; Giovanni Peccati
• 关键词：Entropy ; Fisher information ; Stein kernel and discrepancy ; logarithmic Sobolev inequality ; transport inequality ; convergence to equilibrium ; concentration inequality ; normal approximation ; Γ ; calculus ; 60E15 ; 26D10 ; 60B10
• 刊名：Geometric And Functional Analysis
• 出版年：2015
• 出版时间：February 2015
• 年：2015
• 卷：25
• 期：1
• 页码：256-306
• 全文大小：545 KB
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• 刊物类别：Mathematics and Statistics
• 刊物主题：Mathematics
  Analysis
  
• 出版者：Birkh盲user Basel
• ISSN：1420-8970

文摘

We develop connections between Stein’s approximation method, logarithmic Sobolev and transport inequalities by introducing a new class of functional inequalities involving the relative entropy, the Stein kernel, the relative Fisher information and the Wasserstein distance with respect to a given reference distribution on \({\mathbb{R}^{d}}\) . For the Gaussian model, the results improve upon the classical logarithmic Sobolev inequality and the Talagrand quadratic transportation cost inequality. Further examples of illustrations include multidimensional gamma distributions, beta distributions, as well as families of log-concave densities. As a by-product, the new inequalities are shown to be relevant towards convergence to equilibrium, concentration inequalities and entropic convergence expressed in terms of the Stein kernel. The tools rely on semigroup interpolation and bounds, in particular by means of the iterated gradients of the Markov generator with invariant measure the distribution under consideration. In a second part, motivated by the recent investigation by Nourdin, Peccati and Swan on Wiener chaoses, we address the issue of entropic bounds on multidimensional functionals F with the Stein kernel via a set of data on F and its gradients rather than on the Fisher information of the density. A natural framework for this investigation is given by the Markov Triple structure (E,?μ, Γ) in which abstract Malliavin-type arguments may be developed and extend the Wiener chaos setting.