Gaussian approximations and multiplier bootstrap for maxima of sums of high-dimensional random vectors

DOI10.1214/13-AOS1161zbMath1292.62030arXiv1212.6906MaRDI QIDQ2443203

Kengo Kato, Denis Chetverikov, Victor Chernozhukov

Publication date: 4 April 2014

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

Full work available at URL: https://arxiv.org/abs/1212.6906

zbMATH Keywords

high dimensionalityDantzig selectoranti-concentrationStein methodSlepianmaximum of vector sums

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Approximations to statistical distributions (nonasymptotic) (62E17)

Related Items (only showing first 100 items - show all)

Lasso-driven inference in time and space ⋮ Change-point detection in high-dimensional covariance structure ⋮ Familywise error rate control via knockoffs ⋮ Notes on the dimension dependence in high-dimensional central limit theorems for hyperrectangles ⋮ Maximum-type tests for high-dimensional regression coefficients using Wilcoxon scores ⋮ Approximation to stochastic variance reduced gradient Langevin dynamics by stochastic delay differential equations ⋮ Two sample tests for high-dimensional autocovariances ⋮ High-dimensional two-sample mean vectors test and support recovery with factor adjustment ⋮ On the use of bootstrap with variational inference: theory, interpretation, and a two-sample test example ⋮ On the post selection inference constant under restricted isometry properties ⋮ Non-integrable stable approximation by Stein's method ⋮ Berry-Esseen bounds for Chernoff-type nonstandard asymptotics in isotonic regression ⋮ A sharp lower-tail bound for Gaussian maxima with application to bootstrap methods in high dimensions ⋮ Multiscale adaptive inference on conditional moment inequalities ⋮ A partially linear framework for massive heterogeneous data ⋮ On some approximations for sums of independent random variables ⋮ A rank-based high-dimensional test for equality of mean vectors ⋮ Ridge regression revisited: debiasing, thresholding and bootstrap ⋮ Partial recovery for top-\(k\) ranking: optimality of MLE and suboptimality of the spectral method ⋮ Are discoveries spurious? Distributions of maximum spurious correlations and their applications ⋮ Distributed testing and estimation under sparse high dimensional models ⋮ Sequential change point detection in high dimensional time series ⋮ Empirical and multiplier bootstraps for suprema of empirical processes of increasing complexity, and related Gaussian couplings ⋮ Confidence Regions for Spatial Excursion Sets From Repeated Random Field Observations, With an Application to Climate ⋮ Optimal eigen expansions and uniform bounds ⋮ Unnamed Item ⋮ Confidence regions for entries of a large precision matrix ⋮ Jackknife multiplier bootstrap: finite sample approximations to the \(U\)-process supremum with applications ⋮ Posterior contraction and credible sets for filaments of regression functions ⋮ A high-dimensional CLT in \(\mathcal {W}_2\) distance with near optimal convergence rate ⋮ A Berry-Esseen bound for vector-valued martingales ⋮ Bootstrap confidence sets under model misspecification ⋮ Debiasing the debiased Lasso with bootstrap ⋮ High-dimensional simultaneous inference with the bootstrap ⋮ Bootstrapping max statistics in high dimensions: near-parametric rates under weak variance decay and application to functional and multinomial data ⋮ Distribution and correlation-free two-sample test of high-dimensional means ⋮ Robust inference via multiplier bootstrap ⋮ ADAPTIVE TESTS OF CONDITIONAL MOMENT INEQUALITIES ⋮ Multiscale Change Point Detection ⋮ Bootstrap consistency for quadratic forms of sample averages with increasing dimension ⋮ (Consistently) testing strict exogeneity against the alternative of predeterminedness in linear time-series models ⋮ Gaussian approximation for high dimensional vector under physical dependence ⋮ Nonasymptotic estimates for the closeness of Gaussian measures on balls ⋮ Confidence sets for spectral projectors of covariance matrices ⋮ The CLT in high dimensions: quantitative bounds via martingale embedding ⋮ Gaussian approximations and multiplier bootstrap for maxima of sums of high-dimensional random vectors ⋮ High-dimensional CLT: improvements, non-uniform extensions and large deviations ⋮ Nonclassical Berry-Esseen inequalities and accuracy of the bootstrap ⋮ Hypothesis testing for high-dimensional time series via self-normalization ⋮ Gaussian approximation of suprema of empirical processes ⋮ Uniform nonparametric inference for time series ⋮ Combinatorial inference for graphical models ⋮ Cross-Validation With Confidence ⋮ Cauchy Combination Test: A Powerful Test With Analytic p-Value Calculation Under Arbitrary Dependency Structures ⋮ Inference and testing breaks in large dynamic panels with strong cross sectional dependence ⋮ High-dimensional central limit theorems by Stein's method ⋮ Unnamed Item ⋮ Testing independence in high dimensions with sums of rank correlations ⋮ Testing regression coefficients in high-dimensional and sparse settings ⋮ Uniformly valid post-regularization confidence regions for many functional parameters in z-estimation framework ⋮ Gaussian and bootstrap approximations for high-dimensional U-statistics and their applications ⋮ Pivotal estimation via square-root lasso in nonparametric regression ⋮ Test for high dimensional covariance matrices ⋮ Beyond Gaussian approximation: bootstrap for maxima of sums of independent random vectors ⋮ Nonparametric inference via bootstrapping the debiased estimator ⋮ Two-directional simultaneous inference for high-dimensional models ⋮ Lasso Inference for High-Dimensional Time Series ⋮ Unnamed Item ⋮ Bounding the difference between true and nominal rejection probabilities in tests of hypotheses about instrumental variables models ⋮ On frequentist coverage errors of Bayesian credible sets in moderately high dimensions ⋮ Relevant change points in high dimensional time series ⋮ Largest entries of sample correlation matrices from equi-correlated normal populations ⋮ The Hardness of Conditional Independence Testing and the Generalised Covariance Measure ⋮ A stationary bootstrap test about two mean vectors comparison with somewhat dense differences and fewer sample size than dimension ⋮ Approximating high-dimensional infinite-order \(U\)-statistics: statistical and computational guarantees ⋮ Randomized incomplete \(U\)-statistics in high dimensions ⋮ Bootstrapping and sample splitting for high-dimensional, assumption-lean inference ⋮ Nonparametric inference in generalized functional linear models ⋮ TESTING REGRESSION MONOTONICITY IN ECONOMETRIC MODELS ⋮ Central Limit Theorem in high dimensions: The optimal bound on dimension growth rate ⋮ Inference in partially identified models with many moment inequalities using Lasso ⋮ Volatility coupling ⋮ Bootstrap confidence sets for spectral projectors of sample covariance ⋮ Convergence rates of least squares regression estimators with heavy-tailed errors ⋮ Nonparametric inference on Lévy measures of compound Poisson-driven Ornstein-Uhlenbeck processes under macroscopic discrete observations ⋮ Gaussian approximations for high-dimensional non-degenerate \(U\)-statistics via exchangeable pairs ⋮ Scale calibration for high-dimensional robust regression ⋮ Identifying the number of factors using a white noise test ⋮ A multivariate Berry-Esseen theorem with explicit constants ⋮ Approximation to stable law by the Lindeberg principle ⋮ An omnibus test for detection of subgroup treatment effects via data partitioning ⋮ Combining Cumulative Sum Change‐Point Detection Tests for Assessing the Stationarity of Univariate Time Series ⋮ A Massive Data Framework for M-Estimators with Cubic-Rate ⋮ Unnamed Item ⋮ Central limit theorem and bootstrap approximation in high dimensions: near \(1/\sqrt{n}\) rates via implicit smoothing ⋮ New Edgeworth-type expansions with finite sample guarantees ⋮ Improved central limit theorem and bootstrap approximations in high dimensions ⋮ Bootstrapping the operator norm in high dimensions: error estimation for covariance matrices and sketching ⋮ Comparison and anti-concentration bounds for maxima of Gaussian random vectors ⋮ High-dimensional linear models with many endogenous variables

Cites Work

• Unnamed Item
• Unnamed Item
• Gaussian approximation of suprema of empirical processes
• Statistics for high-dimensional data. Methods, theory and applications.
• The Dantzig selector and sparsity oracle inequalities
• On verifiable sufficient conditions for sparse signal recovery via \(\ell_{1}\) minimization
• Generalization of constraints for high dimensional regression problems
• Some nonasymptotic results on resampling in high dimension. I: Confidence regions
• Extremes and related properties of random sequences and processes
• Hungarian constructions from the nonasymptotic viewpoint
• Estimation of the mean of a multivariate normal distribution
• Komlós-Major-Tusnády approximation for the general empirical process and Haar expansions of classes of functions
• Exchangeably weighted bootstraps of the general empirical process
• Local invariance principles and their application to density estimation
• On parameters of increasing dimensions
• Multiscale testing of qualitative hypotheses
• Weak convergence and empirical processes. With applications to statistics
• Stein's method in high dimensions with applications
• Least squares after model selection in high-dimensional sparse models
• Comparison and anti-concentration bounds for maxima of Gaussian random vectors
• Bootstrap and wild bootstrap for high dimensional linear models
• Confidence bands in density estimation
• Simultaneous analysis of Lasso and Dantzig selector
• Gaussian approximations and multiplier bootstrap for maxima of sums of high-dimensional random vectors
• The Dantzig selector: statistical estimation when \(p\) is much larger than \(n\). (With discussions and rejoinder).
• A User's Guide to Measure Theoretic Probability
• Shape-constrained regularization by statistical multiresolution for inverse problems: asymptotic analysis
• Self-Normalized Processes
• Normal Approximation by Stein’s Method
• To How Many Simultaneous Hypothesis Tests Can Normal, Student'stor Bootstrap Calibration Be Applied?
• An approximation of partial sums of independent RV'-s, and the sample DF. I
• Uniform Central Limit Theorems
• The Sherrington-Kirkpatrick Model
• Multiple Inference and Gender Differences in the Effects of Early Intervention: A Reevaluation of the Abecedarian, Perry Preschool, and Early Training Projects
• Exact and Approximate Stepdown Methods for Multiple Hypothesis Testing

This page was built for publication: Gaussian approximations and multiplier bootstrap for maxima of sums of high-dimensional random vectors