Distance between distributions and distance of moments Let's say I have a sequence of random variables $X_n$ such that $$\mathbf E X_n^k = \mathbf E X^k+O(a_k/\sqrt{n})\quad\text{for all }k\in\mathbb N,\tag{$\ast$}$$ where $X$ is a random variable of standard (zero mean, unit variance) Gaussian distribution and $a_k$ are some constants which typically grow with $k$ (for my purposes they would be $a_k=(k/2)!$, for example). 
Since the normal distribution is uniquely determined by its moments $(\ast)$ implies that $X_n\Rightarrow X$ weakly, as $n\to\infty$. 
Is there an appropriate way to formalize the distance $d$ between the distributions of $X_n$ and $X$, such that $(\ast)$ implies $$d(X_n,X)=O(f(n))$$ for some function $f$? I think $(\ast)$ is not strong enough to control distance measures like the Kullback-Leibler divergence or the Hellinger distance, but there might be some appropriate weaker notion?
I think that $(\ast)$ implies $$\mathbf E f(X_n)=\mathbf E f(X)+O(1/\sqrt{n})$$ for a small class of test functions $f$, but depending on the growth of $a_k$, this class might be vary small. 
 A: The natural thing to compare in this context seems to be the moment generating functions of $X_n$ and $X$.  In particular, consider:
\begin{align*}
\mathbf{E} \exp(t X_n) - \mathbf{E} \exp(t X) &= \sum_{k=0}^{\infty} \frac{t^k}{k!} \left( \mathbf{E} X_n^k - \mathbf{E} X^k \right) \\
&\le \frac{1}{\sqrt{n}} \sum_{k=0}^{\infty} \frac{t^k}{k!} (k/2)! = \frac{1}{\sqrt{n}} \left( 1 + e^{t^2/4} \sqrt{\pi} t + e^{t^2/4} \sqrt{\pi} t \operatorname{Erf}(t/2) \right)
\end{align*} 
where we used the hypothesis given by the OP.   
Given this bound on their moment generating functions (or a similar bound on the characteristic function), to what extent do the laws of $X_n$ and $X$ agree?   There seems to be an interesting discussion about this in the statistics literature.


*

*McCullagh, Peter. "Does the moment-generating function characterize a
distribution?" The American Statistician 48.3 (1994): 208-208.

*Waller, Lance A. "Does the characteristic function numerically
distinguish distributions?" The American Statistician 49.2 (1995):
150-152.

*Luceño, Alberto. "Further evidence supporting the numerical
usefulness of characteristic functions." The American Statistician
51.3 (1997): 233-234.

A: The classical approach to this is called "smoothing" and is described in Chapter 16 of Feller's Introduction to Probability Theory, Vol 2. Basically you use the bounds on the moment differences to bound the difference between the characteristic functions near the origin, then adjust a parameter (called $T$ by Feller) to get the best result.
