Berry–Esseen Bounds for Multivariate Nonlinear Statistics with Applications to M-estimators and Stochastic Gradient Descent Algorithms
share
We establish a Berry–Esseen bound for general multivariate nonlinear statistics by developing a new multivariate-type randomized concentration inequality. The bound is the best possible for many known statistics. As applications, Berry–Esseen bounds for M-estimators and averaged stochastic gradient descent algorithms are obtained.
READ FULL TEXT