Central limit theorems and bootstrap in high dimensions

DOI10.1214/16-AOP1113MaRDI QIDQ2406563zbMATH OpenFDO

Authors Victor Chernozhukov, Denis Chetverikov, Kengo Kato

Publication date 5 October 2017

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1412.3661, https://projecteuclid.org/euclid.aop/1502438428

zbMATH Keywords

bootstrap limit theorems central limit theorem high dimensions hyperrectangles sparsely convex sets

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Approximations to statistical distributions (nonasymptotic) (62E17)

Abstract: This paper derives central limit and bootstrap theorems for probabilities that sums of centered high-dimensional random vectors hit hyperrectangles and sparsely convex sets. Specifically, we derive Gaussian and bootstrap approximations for probabilities

P r (n^{- 1 / 2} s u m_{i = 1}^{n} X_{i} i n A)

where

X_{1}, d o t s, X_{n}

are independent random vectors in

m a t h b b R^{p}

and

A

is a hyperrectangle, or, more generally, a sparsely convex set, and show that the approximation error converges to zero even if

p = p_{n} o i n f t y

as

n o i n f t y

and

p g g n

; in particular,

p

can be as large as

O (e^{C n^{c}})

for some constants

c, C > 0

. The result holds uniformly over all hyperrectangles, or more generally, sparsely convex sets, and does not require any restriction on the correlation structure among coordinates of

X_{i}

. Sparsely convex sets are sets that can be represented as intersections of many convex sets whose indicator functions depend only on a small subset of their arguments, with hyperrectangles being a special case.

Review text

Let \(X_1,\ldots,X_n\) be independent, centred random vectors in \(\mathbb{R}^p\), and let \(S_n^X=\frac{1}{\sqrt{n}}\sum_{i=1}^nX_i\). The authors consider Gaussian approximation of \(S_n^X\). That is, letting \(Y_1,\ldots,Y_n\) be independent, centred Gaussian random variables such that \(Y_i\) has the same covariance structure as \(X_i\) for each \(i\), and defining \(S_n^Y=\frac{1}{\sqrt{n}}\sum_{i=1}^nY_i\), the authors provide bounds on \[ \rho_n(\mathcal{A})=\sup_{A\in\mathcal{A}}\left|P(S_n^X\in A)-P(S_n^Y\in A)\right|\,, \] for classes \(\mathcal{A}\) of Borel sets in \(\mathbb{R}^p\). Motivated by modern high-dimensional statistical applications (for example, for statistics of the Kolmogorov-Smirnov or Pearson type), the authors' primary interest is those cases where \(\rho_n(\mathcal{A})\rightarrow0\) even when the dimension \(p=p_n\) is allowed to grow much faster than \(n\). Through explicit bounds (which do not place any restriction on the correlation structure in the underlying random variables), this is shown to be the case if \(\mathcal{A}\) is the class of hyperrectangles in \(\mathbb{R}^p\) or, more generally, the class of simple or sparsely convex sets. In the case of hyperrectangles, the authors show that we have \(\rho_n\rightarrow0\) even when \(p=O(\exp\{an^b\})\), for some constants \(a\) and \(b\). Finally, the authors also derive high-dimensional empirical and multiplier bootstrap theorems, which can be used to provide explicit approximations for the probabilities \(P(S_n^X\in A)\) by data-dependent techniques in cases where the covariance structure of \(S_n^Y\) is unknown and direct computation of \(P(S_n^Y\in A)\) is not feasible.

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