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Central limit theorems and multiplier bootstrap when p is much larger than n

  • Victor Chernozhukov

    ()

    (Institute for Fiscal Studies and MIT)

  • Denis Chetverikov

    ()

    (Institute for Fiscal Studies and UCLA)

  • Kengo Kato

    (Institute for Fiscal Studies)

We derive a central limit theorem for the maximum of a sum of high dimensional random vectors. More precisely, we establish conditions under which the distribution of the maximum is approximated by the maximum of a sum of the Gaussian random vectors with the same covariance matrices as the original vectors. The key innovation of our result is that it applies even if the dimension of random vectors (p) is much larger than the sample size (n). In fact, the growth of p could be exponential in some fractional power of n. We also show that the distribution of the maximum of a sum of the Gaussian random vectors with unknown covariance matrices can be estimated by the distribution of the maximum of the (conditional) Gaussian process obtained by multiplying the original vectors with i.i.d. Gaussian multipliers. We call this procedure the “multiplier bootstrap”. Here too, the growth of p could be exponential in some fractional power of n. We prove that our distributional approximations, either Gaussian or conditional Gaussian, yield a high-quality approximation for the distribution of the original maximum, often with at most a polynomial approximation error. These results are of interest in numerous econometric and statistical applications. In particular, we demonstrate how our central limit theorem and the multiplier bootstrap can be used for high dimensional estimation, multiple hypothesis testing, and adaptive specification testing. All of our results contain non-asymptotic bounds on approximation errors.

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File URL: http://www.cemmap.ac.uk/wps/cwp451212.pdf
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Paper provided by Centre for Microdata Methods and Practice, Institute for Fiscal Studies in its series CeMMAP working papers with number CWP45/12.

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Date of creation: Dec 2012
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Handle: RePEc:ifs:cemmap:45/12
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  1. Joseph Romano & Michael Wolf, 2003. "Exact and approximate stepdown methods for multiple hypothesis testing," Economics Working Papers 727, Department of Economics and Business, Universitat Pompeu Fabra.
  2. Emmanuel Guerre & Pascal Lavergne, 2004. "Data-Driven Rate-Optimal Specification Testing In Regression Models," Econometrics 0411008, EconWPA.
  3. 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.
  4. A. Belloni & V. Chernozhukov & L. Wang, 2011. "Square-root lasso: pivotal recovery of sparse signals via conic programming," Biometrika, Biometrika Trust, vol. 98(4), pages 791-806.
  5. Fan, Jianqing & Hall, Peter & Yao, Qiwei, 2007. "To How Many Simultaneous Hypothesis Tests Can Normal, Student's t or Bootstrap Calibration Be Applied?," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 1282-1288, December.
  6. Victor Chernozhukov & Denis Chetverikov & Kengo Kato, 2012. "Gaussian approximation of suprema of empirical processes," CeMMAP working papers CWP44/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  7. Eric Gautier & Alexandre Tsybakov, 2014. "High-dimensional instrumental variables regression and confidence sets," Working Papers hal-00591732, HAL.
  8. Alquier, Pierre & Hebiri, Mohamed, 2011. "Generalization of ℓ1 constraints for high dimensional regression problems," Statistics & Probability Letters, Elsevier, vol. 81(12), pages 1760-1765.
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