Gaussian approximation for high dimensional vector under physical dependence | Academic Article individual record
abstract

2018 ISI/BS. We develop a Gaussian approximation result for the maximum of a sum of weakly dependent vectors, where the data dimension is allowed to be exponentially larger than sample size. Our result is established under the physical/functional dependence framework. This work can be viewed as a substantive extension of Chernozhukov et al. (Ann. Statist. 41 (2013) 27862819) to time series based on a variant of Steins method developed therein.

publication outlet

Bernoulli

author list (cited authors)
Zhang, X., & Cheng, G.
publication date
2018
citation count

34

Digital Object Identifier (DOI)
start page
2640
end page
2675
issue
4A