Log-normal approximation for the Wasserstein distance between Gaussian samples

Let W(n)=W22(μ^1,(n),ν^1,(n))\mathbf{W}^{(n)}=\mathrm{W}_2^2(\hat\mu^{1,(n)},\hat\nu^{1,(n)}) be the squared Wasserstein distance between two empirical samples of size nn from the standard normal distribution, and let LN(μn,τn)\mathcal{LN}(\mu_n,\tau_n) denote a log-normal distribution with parameters μn\mu_n and τn\tau_n. Log-normal approximation conjecture. For nn large enough, the distribution of W(n)\mathbf{W}^{(n)} can be approximated by LN(μn,τn)\mathcal{LN}(\mu_n,\tau_n). This approximation is proposed to obtain an explicit usable description of the statistic for sufficiently large samples, typically n20n\ge 20; the source provides no resolution of the conjecture.

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Primary source

Johann Clément-Cottuz, Maxime Bérar and Gilles Gasso, “Two-sample test with Wasserstein distance on Gaussian samples based on a log-normal approximation”, arXiv:2606.25521 (2026).

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