Bootstrapping $\ell_p$-Statistics in High Dimensions

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Tác giả: Jianqing Fan, Alexander Giessing

Ngôn ngữ: eng

Ký hiệu phân loại: 330.18 Economics

Thông tin xuất bản: 2020

Mô tả vật lý:

Bộ sưu tập: Metadata

ID: 164721

Comment: 80 pages, 6 figures. Added details to Section 3.2This paper considers a new bootstrap procedure to estimate the distribution of high-dimensional $\ell_p$-statistics, i.e. the $\ell_p$-norms of the sum of $n$ independent $d$-dimensional random vectors with $d \gg n$ and $p \in [1, \infty]$. We provide a non-asymptotic characterization of the sampling distribution of $\ell_p$-statistics based on Gaussian approximation and show that the bootstrap procedure is consistent in the Kolmogorov-Smirnov distance under mild conditions on the covariance structure of the data. As an application of the general theory we propose a bootstrap hypothesis test for simultaneous inference on high-dimensional mean vectors. We establish its asymptotic correctness and consistency under high-dimensional alternatives, and discuss the power of the test as well as the size of associated confidence sets. We illustrate the bootstrap and testing procedure numerically on simulated data.
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