Beyond Gaussian approximation: bootstrap for maxima of sums of independent random vectors
type: Item
instance of: scholarly article
title: Beyond Gaussian approximation: bootstrap for maxima of sums of independent random vectors
zbMATH Open document ID: 1461.62042
DOI: 10.1214/20-AOS1946
author: Yanyan Li
published in: The Annals of Statistics
publication date: 2021-02-26T00:00:00Z
full work available at URL: https://arxiv.org/abs/1705.09528
full work available at URL: https://projecteuclid.org/euclid.aos/1607677250
review text: Let \(\mathbf{X} = (X_1, \ldots, X_n)^\top \in \mathbb{R}^{n \times p}\) denote a random matrix with stochastically independent rows \(X_i = (X_{i, 1}, \ldots, X_{i, p}) \in \mathbb{R}^p\) for \(1 \leq i \leq n\), where \(p \equiv p_n\) may depend on \(n\). For \(1 \leq j \leq p\), let \(\bar{X}_{n, j} = n^{-1} \sum_{i=1}^n X_{i, j}\). The authors are concerned with the consistency of several bootstrap methods for approximating the distribution of \[ \max_{1 \leq j \leq p} \sqrt{n} \left(\bar{X}_{n, j} - \mathbb{E}\left[\bar{X}_{n, j}\right]\right) \] in the case of large \(p = p_n\), which may grow exponentially as \(n \to \infty\). In particular, the authors improve convergence rates published in this context in previous literature. Their proof methodology relies on new comparison and anticoncentration theorems. Applications in large-scale simultaneous statistical inference are also discussed. Besides these theoretical results, some computer simulations are presented in order to compare different bootstrap schemes.
reviewed by: Thorsten Dickhaus
Mathematics Subject Classification ID: 62F40
Mathematics Subject Classification ID: 62J15
Mathematics Subject Classification ID: 62E17
Mathematics Subject Classification ID: 60B20
zbMATH DE Number: 7315925
zbMATH Keywords: anticoncentration
zbMATH Keywords: comparison theorem
zbMATH Keywords: empirical bootstrap
zbMATH Keywords: Lindeberg interpolation
zbMATH Keywords: multiplier bootstrap
zbMATH Keywords: simultaneous statistical inference
zbMATH Keywords: random matrix
describes a project that uses: HDtest
describes a project that uses: hdi
MaRDI profile type: MaRDI publication profile
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description: scientific article; zbMATH DE number 7315925