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

MaRDI QIDQ6348146zbMATH OpenFDO

Authors Xiao Fang, Yuta Koike

Publication date 1 September 2020

Mathematics Subject Classification ID

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

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.

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