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Register a new userCentral Limit Theorems and Bootstrap in High Dimensions
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Added by
Denis Chetverikov
Publication date
2014
fields
Mathematical Statistics
and research's language is
English
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This paper derives central limit and bootstrap theorems for probabilities that sums of centered high-dimensional random vectors hit hyperrectangles and sparsely convex sets. Specifically, we derive Gaussian and bootstrap approximations for probabilities $Pr(n^{-1/2}sum_{i=1}^n X_iin A)$ where $X_1,dots,X_n$ are independent random vectors in $mathbb{R}^p$ and $A$ is a hyperrectangle, or, more generally, a sparsely convex set, and show that the approximation error converges to zero even if $p=p_nto infty$ as $n to infty$ and $p gg n$; in particular, $p$ can be as large as $O(e^{Cn^c})$ for some constants $c,C>0$. The result holds uniformly over all hyperrectangles, or more generally, sparsely convex sets, and does not require any restriction on the correlation structure among coordinates of $X_i$. Sparsely convex sets are sets that can be represented as intersections of many convex sets whose indicator functions depend only on a small subset of their arguments, with hyperrectangles being a special case.
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