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High-Dimensional Central Limit Theorems for Homogeneous Sums

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  • Yuta Koike

    (University of Tokyo and CREST JST)

Abstract

This paper develops a quantitative version of de Jong’s central limit theorem for homogeneous sums in a high-dimensional setting. More precisely, under appropriate moment assumptions, we establish an upper bound for the Kolmogorov distance between a multi-dimensional vector of homogeneous sums and a Gaussian vector so that the bound depends polynomially on the logarithm of the dimension and is governed by the fourth cumulants and the maximal influences of the components. As a corollary, we obtain high-dimensional versions of fourth-moment theorems, universality results and Peccati–Tudor-type theorems for homogeneous sums. We also sharpen some existing (quantitative) central limit theorems by applications of our result.

Suggested Citation

  • Yuta Koike, 2023. "High-Dimensional Central Limit Theorems for Homogeneous Sums," Journal of Theoretical Probability, Springer, vol. 36(1), pages 1-45, March.
    • Handle: RePEc:spr:jotpro:v:36:y:2023:i:1:d:10.1007_s10959-022-01156-2
    DOI: 10.1007/s10959-022-01156-2
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    References listed on IDEAS

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    1. Chernozhukov, Victor & Chetverikov, Denis & Kato, Kengo, 2016. "Empirical and multiplier bootstraps for suprema of empirical processes of increasing complexity, and related Gaussian couplings," Stochastic Processes and their Applications, Elsevier, vol. 126(12), pages 3632-3651.
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    3. de Jong, Peter, 1990. "A central limit theorem for generalized multilinear forms," Journal of Multivariate Analysis, Elsevier, vol. 34(2), pages 275-289, August.
    4. Horowitz, Joel L & Spokoiny, Vladimir G, 2001. "An Adaptive, Rate-Optimal Test of a Parametric Mean-Regression Model against a Nonparametric Alternative," Econometrica, Econometric Society, vol. 69(3), pages 599-631, May.
    5. Victor Chernozhukov & Denis Chetverikov & Kengo Kato, 2012. "Gaussian approximations and multiplier bootstrap for maxima of sums of high-dimensional random vectors," Papers 1212.6906, arXiv.org, revised Jan 2018.
    6. Ivan Nourdin & Giovanni Peccati & Guillaume Poly & Rosaria Simone, 2016. "Classical and Free Fourth Moment Theorems: Universality and Thresholds," Journal of Theoretical Probability, Springer, vol. 29(2), pages 653-680, June.
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