Large Sample Theory for Bures-Wasserstein Barycentres

05/24/2023
by   Leonardo V. Santoro, et al.
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We establish a strong law of large numbers and a central limit theorem in the Bures-Wasserstein space of covariance operators – or equivalently centred Gaussian measures – over a general separable Hilbert space. Specifically, we show that under a minimal first-moment condition, empirical barycentre sequences indexed by sample size are almost certainly relatively compact, with accumulation points comprising population barycentres. We give a sufficient regularity condition for the limit to be unique. When the limit is unique, we also establish a central limit theorem under a refined pair of moment and regularity conditions. Finally, we prove strong operator convergence of the empirical optimal transport maps to their population counterparts. Though our results naturally extend finite-dimensional counterparts, including associated regularity conditions, our techniques are distinctly different owing to the functional nature of the problem in the general setting. A key element is the elicitation of a class of compact sets that reflect an ordered Heine-Borel property of the Bures-Wasserstein space.

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