Gaussian approximation for high dimensional time series
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Publication:1687112
Abstract: We consider the problem of approximating sums of high-dimensional stationary time series by Gaussian vectors, using the framework of functional dependence measure. The validity of the Gaussian approximation depends on the sample size , the dimension , the moment condition and the dependence of the underlying processes. We also consider an estimator for long-run covariance matrices and study its convergence properties. Our results allow constructing simultaneous confidence intervals for mean vectors of high-dimensional time series with asymptotically correct coverage probabilities. A Gaussian multiplier bootstrap method is proposed. A simulation study indicates the quality of Gaussian approximation with different , under different moment and dependence conditions.
The authors use the framework of functional dependence measure for Gaussian approximations of sums of multivariate stationary time series. In the rest of the paper, the batched-mean estimate of long-run covariances matrices is considered and some sharp inequalities for tail probabilities are provided for dependent processes.
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