Bootstrapping \ell_p-Statistics in High Dimensions

Authors Alexander Giessing, Jianqing Fan

Publication date 23 June 2020

Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17) Bootstrap, jackknife and other resampling methods (62F40) Asymptotic properties of nonparametric inference (62G20) Hypothesis testing in multivariate analysis (62H15)

Abstract: This paper considers a new bootstrap procedure to estimate the distribution of high-dimensional

e l l_{p}

-statistics, i.e. the

e l l_{p}

-norms of the sum of

n

independent

d

-dimensional random vectors with

d g g n

and

p i n [1, i n f t y]

. We provide a non-asymptotic characterization of the sampling distribution of

e l l_{p}

-statistics based on Gaussian approximation and show that the bootstrap procedure is consistent in the Kolmogorov-Smirnov distance under mild conditions on the covariance structure of the data. As an application of the general theory we propose a bootstrap hypothesis test for simultaneous inference on high-dimensional mean vectors. We establish its asymptotic correctness and consistency under high-dimensional alternatives, and discuss the power of the test as well as the size of associated confidence sets. We illustrate the bootstrap and testing procedure numerically on simulated data.

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