Flexible results for quadratic forms with applications to variance components estimation

DOI10.1214/16-AOS1456zbMATH Open1364.62040arXiv1509.04388OpenAlexW2963159004MaRDI QIDQ524465FDOQ524465

Authors: Lee H. Dicker, Murat A. Erdogdu 

Publication date: 2 May 2017

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

Abstract: We derive convenient uniform concentration bounds and finite sample multivariate normal approximation results for quadratic forms, then describe some applications involving variance components estimation in linear random-effects models. Random-effects models and variance components estimation are classical topics in statistics, with a corresponding well-established asymptotic theory. However, our finite sample results for quadratic forms provide additional flexibility for easily analyzing random-effects models in non-standard settings, which are becoming more important in modern applications (e.g. genomics). For instance, in addition to deriving novel non-asymptotic bounds for variance components estimators in classical linear random-effects models, we provide a concentration bound for variance components estimators in linear models with correlated random-effects. Our general concentration bound is a uniform version of the Hanson-Wright inequality. The main normal approximation result in the paper is derived using Reinert and R"{o}llin's (2009) embedding technique and multivariate Stein's method with exchangeable pairs.

Full work available at URL: https://arxiv.org/abs/1509.04388

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zbMATH Keywords

model misspecificationrandom-effects modelsStein's methodHanson-Wright inequalityuniform concentration bounds

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Central limit and other weak theorems (60F05) Approximations to statistical distributions (nonasymptotic) (62E17)

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• Uniform Hanson-Wright type concentration inequalities for unbounded entries via the entropy method
• Some notes on concentration for \(\alpha\)-subexponential random variables
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• On variance function estimation with quadratic forms
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• High-dimensional linear models: a random matrix perspective
• Moderate-Dimensional Inferences on Quadratic Functionals in Ordinary Least Squares
• A Bayesian-motivated test for high-dimensional linear regression models with fixed design matrix
• Bounds for the chi-square approximation of Friedman's statistic by Stein's method
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