Notes on the dimension dependence in high-dimensional central limit theorems for hyperrectangles

DOI10.1007/S42081-020-00096-7zbMATH Open1477.60048arXiv1911.00160OpenAlexW3095040609MaRDI QIDQ825324FDOQ825324

Authors: Yuta Koike 

Publication date: 17 December 2021

Published in: Japanese Journal of Statistics and Data Science (Search for Journal in Brave)

Abstract: Let $X_1,dots,X_n$ be independent centered random vectors in $mathbb{R}^d$. This paper shows that, even when $d$ may grow with $n$, the probability $P(n^{-1/2}su{m}_{i=1}^n{X}_{i}inA)$ can be approximated by its Gaussian analog uniformly in hyperrectangles $A$ in $mathbb{R}^d$ as $noinfty$ under appropriate moment assumptions, as long as $(logd{)}^5/no0$. This improves a result of Chernozhukov, Chetverikov & Kato [Ann. Probab. 45 (2017) 2309-2353] in terms of the dimension growth condition. When $n^{-1/2}su{m}_{i=1}^n{X}_i$ has a common factor across the components, this condition can be further improved to $(logd{)}^3/no0$. The corresponding bootstrap approximation results are also developed. These results serve as a theoretical foundation of simultaneous inference for high-dimensional models.

Full work available at URL: https://arxiv.org/abs/1911.00160

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zbMATH Keywords

bootstrapmaximafactor structureanti-concentration inequalityrandomized Lindeberg methodStein kernel

Mathematics Subject Classification ID

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

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• Central limit theorem and bootstrap approximation in high dimensions: near \(1/\sqrt{n}\) rates via implicit smoothing
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• A remark on moment-dependent phase transitions in high-dimensional Gaussian approximations
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• High-dimensional CLT: improvements, non-uniform extensions and large deviations
• Central limit theorem and near classical Berry-Esseen rate for self normalized sums in high dimensions
• Central limit theorems for high dimensional dependent data
• Sequential Gaussian approximation for nonstationary time series in high dimensions
• Nearly optimal central limit theorem and bootstrap approximations in high dimensions
• Estimation of smooth functionals in high-dimensional models: bootstrap chains and Gaussian approximation
• Improved central limit theorem and bootstrap approximations in high dimensions

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