Large-dimensional Central Limit Theorem with Fourth-moment Error Bounds on Convex Sets and Balls

arXiv2009.00339MaRDI QIDQ6348146FDOQ6348146

Authors: Xiao Fang, Yuta Koike 

Publication date: 1 September 2020

Abstract: We prove the large-dimensional Gaussian approximation of a sum of $n$ independent random vectors in $mathbb{R}^d$ together with fourth-moment error bounds on convex sets and Euclidean balls. We show that compared with classical third-moment bounds, our bounds have near-optimal dependence on $n$ and can achieve improved dependence on the dimension $d$. For centered balls, we obtain an additional error bound that has a sub-optimal dependence on $n$, but recovers the known result of the validity of the Gaussian approximation if and only if $d=o(n)$. We discuss an application to the bootstrap. We prove our main results using Stein's method.

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Approximations to statistical distributions (nonasymptotic) (62E17)

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