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

DOI10.1007/S42081-020-00096-7MaRDI QIDQ825324zbMATH OpenOpenAlexFDO

Authors Yuta Koike

Publication date 17 December 2021

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

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

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)

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.

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Cited in

(13)

• Central limit theorem in high dimensions: the optimal bound on dimension growth rate
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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
• High-dimensional central limit theorems by Stein's method
• 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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