New error bounds in multivariate normal approximations via exchangeable pairs with applications to Wishart matrices and fourth moment theorems

We extend Stein’s celebrated Wasserstein bound for normal approximation via exchangeable pairs to the multi-dimensional setting. As an intermediate step, we exploit the symmetry of exchangeable pairs to obtain an error bound for smooth test functions. We also obtain a continuous version of the multi-dimensional Wasserstein bound in terms of fourth moments. We apply the main results to multivariate normal approximations to Wishart matrices of size $n$ and degree $d$, where we obtain the optimal convergence rate $\sqrt{n^3\mathrm{/}d}$ under only moment assumptions, and to quadratic forms and Poisson functionals, where we strengthen a few of the fourth moment bounds in the literature on the Wasserstein distance.