Is total variation distance of normalized sum of random variables to Gaussian monotonic decreasing? Let $X_1, X_2, \ldots$ be independent and identically distributed random variables with mean $0$ and variance $1$ and let $S_n = (X_1 + \cdots + X_n)/\sqrt{n}$ to be their normalized sum. Define $D_n$ to the total variation (TV) distance between $S_n$ and a standard Gaussian.
Question: Is $D_n$ always monotonic decreasing?
This is similar to the well known Shannon monotonicity of entropy problem which states that the entropy of $S_n$ is monotonic increasing.
Intuitively, the conjecture might be true since visually, I cannot imagine a case where the TV distance ever decreases. Furthermore, the upper bound for TV distance from Pinsker's inequality does derease monotonically (proof sketch: decompose KL divergence as a - entropy term + constant term and the first follows from the Shannon problem.)
Any references, counter examples, or discussions would be appreciated.
 A: Unless I made a mistake, this is not true.
Take the random variable $X$ to be $M$ with probability $\epsilon$, $-M$ with probability $-\epsilon$, and distributed as $N(0,  \frac{ 1- 2 \epsilon M^2}{ 1-2\epsilon} )$ with probability $1-2\epsilon$.  Here we take $M$ very large and $\epsilon M^2$ somewhat small, for instance $\epsilon = M^{-3}$.
The total variation distance is $$\int_{-\infty}^{\infty} \max \left( \frac{ e^{ - x^2/2}}{\sqrt{2\pi}}- (1-2\epsilon)\frac{ e^{ - x^2 (1-2\epsilon) / (1-2 \epsilon M^2)} }{\sqrt{ 2\pi (1- 2 \epsilon m^2)/ (1-2\epsilon)}} , 0 \right) dx $$
since the spikes at $-M$ and $M$ don't contribute.
Now the distribution of $(X_1 + X_2)/\sqrt{2}$ is

*

*$N(0,  \frac{ 1- 2 \epsilon M^2}{ 1-\epsilon} )$ with probability $(1-2 \epsilon)^2$

*$N(M/\sqrt{2},  \frac{ 1- 2 \epsilon M^2}{ 2 -2 \epsilon } )$, with probability $2 \epsilon (1-2\epsilon)$

*$N(-M/\sqrt{2},  \frac{ 1- 2 \epsilon M^2}{ 2 -2 \epsilon } )$

*$\sqrt{2} M$ with probability $\epsilon^2$

*$0$ with probaiblity $2\epsilon^2$

*$-\sqrt{2} M$ with probability $\epsilon^2$
The last three are peaks and don't contribute to the total variation distance. The two shifted Gaussians are supported around $M/\sqrt{2}$, with exponential error, and thus contribute an amount exponentially small in $M$ to the total variation distance. So the total variation distance is
The total variation distance is $$\int_{-\infty}^{\infty} \max \left( \frac{ e^{ - x^2/2}}{\sqrt{2\pi}}- (1-2\epsilon)^2\frac{ e^{ - x^2 (1-2\epsilon) / (1-2 \epsilon M^2)} }{\sqrt{ 2\pi (1- 2 \epsilon m^2)/ (1-2\epsilon)}} , 0 \right) dx $$
plus a term exponentially small in $M$. This integral is greater than the integral above by a factor linear in $\epsilon$, which has size $M^{-3}$, which is much larger than the exponentially small factor factor, so the total variation distance is larger than the previous case.
