Gaussian approximation of maxima of Wiener functionals and its application to high-frequency data

DOI10.1214/18-AOS1731zbMATH Open1451.60053arXiv1709.00353WikidataQ128366427 ScholiaQ128366427MaRDI QIDQ2414101FDOQ2414101

Yuta Koike

Publication date: 10 May 2019

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: This paper establishes an upper bound for the Kolmogorov distance between the maximum of a high-dimensional vector of smooth Wiener functionals and the maximum of a Gaussian random vector. As a special case, we show that the maximum of multiple Wiener-It^o integrals with common orders is well-approximated by its Gaussian analog in terms of the Kolmogorov distance if their covariance matrices are close to each other and the maximum of the fourth cumulants of the multiple Wiener-It^o integrals is close to zero. This may be viewed as a new kind of fourth moment phenomenon, which has attracted considerable attention in the recent studies of probability. This type of Gaussian approximation result has many potential applications to statistics. To illustrate this point, we present two statistical applications in high-frequency financial econometrics: One is the hypothesis testing problem for the absence of lead-lag effects and the other is the construction of uniform confidence bands for spot volatility.

Full work available at URL: https://arxiv.org/abs/1709.00353

zbMATH Keywords

bootstrapMalliavin calculusStein's methodmaximumuniform confidence bandsfourth moment phenomenon

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Economic time series analysis (91B84) Approximations to statistical distributions (nonasymptotic) (62E17)

Cited In (9)

• Notes on the dimension dependence in high-dimensional central limit theorems for hyperrectangles
• High-dimensional central limit theorems by Stein's method
• Gaussian Approximation and Spatially Dependent Wild Bootstrap for High-Dimensional Spatial Data
• Title not available (Why is that?)
• The discrepancy between min-max statistics of Gaussian and Gaussian-subordinated matrices
• High-dimensional central limit theorems for homogeneous sums
• The multivariate functional de Jong CLT
• The double Gaussian approximation for high frequency data
• Inference for High-Dimensional Exchangeable Arrays

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