Bounding the maximum of dependent random variables

DOI10.1214/14-EJS974MaRDI QIDQ489171zbMATH OpenFDO

Authors J. A. Hartigan

Publication date 27 January 2015

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1312.1207, https://projecteuclid.org/euclid.ejs/1421330632

zbMATH Keywords

likelihood ratio testexponential family mixturesmaxima of Gaussian processes

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15)

Abstract: Let $M_n$ be the maximum of $n$ zero-mean gaussian variables $X_1,\mathrm{..},X_n$ with covariance matrix of minimum eigenvalue $lambda$ and maximum eigenvalue $Lambda$. Then, for $nge70$, ${\displaystyle }$Pr{M_n ge lambda left (2 log n - 2.5 - log(2 log n - 2.5) ight )^frac{1}{2} -.68Lambda} ge frac{1}{2}.${\displaystyle }$ Bounds are also given for tail probabilities other than $frac12$. Upper bounds are given for tail probabilities of the maximum of dependent identically distributed variables. As an application, the maximum of purely non-deterministic stationary Gaussian processes is shown to have the same first order asymptotic behaviour as the maximum of independent gaussian processes.

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Cited in

(12)

• Upper bounds for the expected maxima of independent random variables given known first four moments
• A sharp lower-tail bound for Gaussian maxima with application to bootstrap methods in high dimensions
• Consistent estimation of high-dimensional factor models when the factor number is over-estimated
• Testing subspace restrictions in the presence of high dimensional nuisance parameters
• Some upper tail approximations for the distribution of the maximum of correlated chi-square or gamma random variables
• Predictor ranking and false discovery proportion control in high-dimensional regression
• A lower bound for the tail probability of partial maxima of dependent random variables and applications
• Rank and Factor Loadings Estimation in Time Series Tensor Factor Model by Pre-averaging
• p-norm bounds on the expectation of the maximum of a possibly dependent sample
• Upper Bound for the Expected Minimum of Dependent Random Variables with Known Kendall's Tau
• Bounds on the expected maximum
• Specification testing with estimated variables

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