Wasserstein Concentration of Empirical Measures for Dependent Data via the Method of Moments

Abstract

We establish a general concentration result for the 1-Wasserstein distance between the empirical measure of a sequence of random variables and its expectation. Unlike standard results that rely on independence (e.g., Sanov's theorem) or specific mixing conditions, our result requires only two conditions: (1) control over the variance of the empirical moments, and (2) a flexible tail condition we term $\Psi_{r_n}$-sub-Gaussianity. This approach allows for significant dependencies between variables, provided their algebraic moments behave predictably. The proof uses the method of moments combined with a polynomial approximation of Lipschitz functions via Jackson kernels, allowing us to translate moment concentration into topological concentration.