Gaussian approximations and multiplier bootstrap for maxima of sums of high-dimensional random vectors

We derive a Gaussian approximation result for the maximum of a sum of high-dimensional random vectors. Specifically, we establish conditions under which the distribution of the maximum is approximated by that of the maximum of a sum of the Gaussian random vectors with the same covariance matrices as...

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Podrobná bibliografie
Hlavní autoři: Chetverikov, Denis, Kato, Kengo, Chernozhukov, Victor V.
Další autoři: Massachusetts Institute of Technology. Department of Economics
Médium: Článek
Jazyk:en_US
Vydáno: Institute of Mathematical Statistics 2014
On-line přístup:http://hdl.handle.net/1721.1/85688
https://orcid.org/0000-0002-3250-6714

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