Convergence of the Poincare Constant

Details Convergence of the Poincare Constant Convergence of the Poincare Constant

2002-06-21

arxiv.org/abs/math/0206227v1

Theory of Probability and Its Applications Vol 48 (3), p.535-541, 2004

Mathematics

Probability

11 pages

Scientific paper

10.1137/S0040585X97980622

The Poincare constant R(Y) of a random variable Y relates the L2 norm of a function g and its derivative g'. Since R(Y) - Var(Y) is positive, with equality if and only if Y is normal, it can be seen as a distance from the normal distribution. In this paper we establish a best possible rate of convergence of this distance in the Central Limit Theorem. Furthermore, we show that R(Y) is finite for discrete mixtures of normals, allowing us to add rates to the proof of the Central Limit Theorem in the sense of relative entropy.

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