Simultaneous Inference for High Dimensional Mean Vectors

arXiv1704.04806MaRDI QIDQ6285586FDOQ6285586

Authors: Zhipeng Lou, Wei Biao Wu 

Publication date: 16 April 2017

Abstract: Let $X_1,ldots,X_{n}inmathbb{R}^p$ be i.i.d. random vectors. We aim to perform simultaneous inference for the mean vector $mathbbE(X_i)$ with finite polynomial moments and an ultra high dimension. Our approach is based on the truncated sample mean vector. A Gaussian approximation result is derived for the latter under the very mild finite polynomial ($(2+heta)$-th) moment condition and the dimension $p$ can be allowed to grow exponentially with the sample size $n$. Based on this result, we propose an innovative resampling method to construct simultaneous confidence intervals for mean vectors.

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