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A caveat on metrizing convergence in distribution on Hilbert spaces

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  • Bassetti, Federico
  • Bourguin, Solesne
  • Campese, Simon
  • Peccati, Giovanni

Abstract

We consider Sobolev-type distances on probability measures over separable Hilbert spaces involving the Schatten-p norms, which include as special cases a distance first introduced by Bourguin and Campese (2020) when p=2, and a distance introduced by Giné and Leon (1980) when p=∞. Our analysis shows that, unless p=∞, these distances fail to metrize convergence in distribution in infinite dimensions. This clarifies several inconsistencies and misconceptions in the recent literature that arose from confusion between different types of distances.

Suggested Citation

  • Bassetti, Federico & Bourguin, Solesne & Campese, Simon & Peccati, Giovanni, 2026. "A caveat on metrizing convergence in distribution on Hilbert spaces," Statistics & Probability Letters, Elsevier, vol. 233(C).
    • Handle: RePEc:eee:stapro:v:233:y:2026:i:c:s0167715226000350
    DOI: 10.1016/j.spl.2026.110671
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