Weighted sums and Berry-Esseen type estimates in free probability theory

Abstract We study weighted sums of free identically distributed self-adjoint random variables with weights chosen randomly from the unit sphere and show that the Kolmogorov distance between the distribution of such a weighted sum and Wigner’s semicircle law is of order $$n^{-\frac{1}{2}}$$ <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML"> <mml:msup> <mml:mi>n</mml:mi> <mml:mrow> <mml:mo>-</mml:mo> <mml:mfrac> <mml:mn>1</mml:mn> <mml:mn>2</mml:mn> </mml:mfrac> </mml:mrow> </mml:msup> </mml:math> with high probability. Replacing the Kolmogorov distance by a weaker pseudometric, we obtain a rate of convergence of order $$n^{-1}$$ <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML"> <mml:msup> <mml:mi>n</mml:mi> <mml:mrow> <mml:mo>-</mml:mo> <mml:mn>1</mml:mn> </mml:mrow> </mml:msup> </mml:math> , thus providing a free analog of the Klartag-Sodin result in classical probability theory. Moreover, we show that our ideas generalize to the setting of sums of free non-identically distributed bounded self-adjoint random variables leading to a new rate of convergence in the free central limit theorem.