Optimal-order bounds on the rate of convergence to normality in the multivariate delta method

DOI10.1214/16-EJS1133zbMATH Open1337.60024arXiv0906.0177OpenAlexW2963386773MaRDI QIDQ276236FDOQ276236

Authors: Iosif Pinelis, Raymond Molzon 

Publication date: 3 May 2016

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

Abstract: Uniform and nonuniform Berry--Esseen (BE) bounds of optimal orders on the closeness to normality for general abstract nonlinear statistics are given, which are then used to obtain optimal bounds on the rate of convergence in the delta method for vector statistics. Specific applications to Pearson's, non-central Student's and Hotelling's statistics, sphericity test statistics, a regularized canonical correlation, and maximum likelihood estimators (MLEs) are given; all these uniform and nonuniform BE bounds appear to be the first known results of these kinds, except for uniform BE bounds for MLEs. When applied to the well-studied case of the central Student statistic, our general results compare well with known ones in that case, obtained previously by specialized methods. The proofs use a Stein-type method developed by Chen and Shao, a Cram'er-type of tilt transform, exponential and Rosenthal-type inequalities for sums of random vectors established by Pinelis, Sakhanenko, and Utev, as well as a number of other, quite recent results motivated by this study. The method allows one to obtain bounds with explicit and rather moderate-size constants, at least as far as the uniform bounds are concerned. For instance, one has the uniform BE bound $3.61mathbbE(Y_1^6+Z_1^6),(1+sigm{a}^{-3})/sqrtn$ for the Pearson sample correlation coefficient based on independent identically distributed random pairs $(Y_1,Z_1),dots,(Y_n,Z_n)$ with $mathbbE{Y}_1=mathbbE{Z}_1=mathbbE{Y}_1{Z}_1=0$ and $mathbbE{Y}_1^2=mathbbE{Z}_1^2=1$, where $sigma:=sqrtmathbbE{Y}_1^2{Z}_1^2$.

Full work available at URL: https://arxiv.org/abs/0906.0177

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• scientific article; zbMATH DE number 3936187

zbMATH Keywords

Berry-Esseen boundsconvergence ratesmaximum likelihood estimatorsexponential inequalitiessphericity testcanonical correlationdelta methodnoncentral Hotelling statisticnoncentral student statisticnonlinear statisticsPearson's correlation coefficientCramér's tilt

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Parametric hypothesis testing (62F03) Asymptotic properties of parametric estimators (62F12) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Asymptotic properties of parametric tests (62F05) Inequalities; stochastic orderings (60E15) Central limit and other weak theorems (60F05)

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Cited In (17)

• Exact Bounds on the Truncated-Tilted Mean, with Applications
• Stein's method for functions of multivariate normal random variables
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• Assessing the multivariate normal approximation of the maximum likelihood estimator from high-dimensional, heterogeneous data
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• Wasserstein distance error bounds for the multivariate normal approximation of the maximum likelihood estimator
• Bounds for the normal approximation of the maximum likelihood estimator from \(m\)-dependent random variables
• On universally consistent and fully distribution-free rank tests of vector independence

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