Empirical and multiplier bootstraps for suprema of empirical processes of increasing complexity, and related Gaussian couplings

DOI10.1016/J.SPA.2016.04.009zbMATH Open1351.60035arXiv1502.00352OpenAlexW2952125532MaRDI QIDQ335636FDOQ335636

Authors: Denis Chetverikov, Kengo Kato, Victor Chernozhukov 

Publication date: 2 November 2016

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: We derive strong approximations to the supremum of the non-centered empirical process indexed by a possibly unbounded VC-type class of functions by the suprema of the Gaussian and bootstrap processes. The bounds of these approximations are non-asymptotic, which allows us to work with classes of functions whose complexity increases with the sample size. The construction of couplings is not of the Hungarian type and is instead based on the Slepian-Stein methods and Gaussian comparison inequalities. The increasing complexity of classes of functions and non-centrality of the processes make the results useful for applications in modern nonparametric statistics (Gin'{e} and Nickl, 2015), in particular allowing us to study the power properties of nonparametric tests using Gaussian and bootstrap approximations.

Full work available at URL: https://arxiv.org/abs/1502.00352

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zbMATH Keywords

Gaussian approximationempirical processcouplingsupremummultiplier bootstrap process

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Gaussian processes (60G15) Approximations to statistical distributions (nonasymptotic) (62E17) Functional limit theorems; invariance principles (60F17)

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Cited In (37)

• Estimation and inference of seller's expected revenue in first-price auctions
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• Limit distribution theory for smooth \(p\)-Wasserstein distances
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• Sharp high-dimensional central limit theorems for log-concave distributions
• Network and panel quantile effects via distribution regression
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• Large Sample Properties of Partitioning-Based Series Estimators
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• On continuity and strict increase of the CDF for the sup-functional of a Gaussian process with applications to statistics
• The discrepancy between min-max statistics of Gaussian and Gaussian-subordinated matrices
• Inference on individual treatment effects in nonseparable triangular models
• High-dimensional linear models with many endogenous variables
• On linearization of nonparametric deconvolution estimators for repeated measurements model
• High-dimensional central limit theorems for homogeneous sums
• Gaussian approximation of suprema of empirical processes
• Asymptotic theories of multiscale bootstrap
• Inference for High-Dimensional Exchangeable Arrays

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