Gaussian Approximation in Wasserstein-p: Markovian Martingale Differences and Stochastic Approximation

Yixuan Zhang, Qiaomin Xie

We establish nonasymptotic Gaussian approximation bounds in higher-order Wasserstein distance $W_p$, $p\ge 2$, for deterministic matrix-weighted sums of multivariate Poisson martin…