Gaussian Approximations for the kth coordinate of sums of random vectors
Abstract
We consider the problem of Gaussian approximation for the coordinate of a sum of high-dimensional random vectors. Such a problem has been studied previously for =1 (i.e., maxima). However, in many applications, a general ≥1 is of great interest, which is addressed in this paper. We make four contributions: 1) we first show that the distribution of the coordinate of a sum of random vectors, X= (X1,·s,Xp) T= n-1/2Σi=1n xi, can be approximated by that of Gaussian random vectors and derive their Kolmogorov's distributional difference bound; 2) we provide the theoretical justification for estimating the distribution of the coordinate of a sum of random vectors using a Gaussian multiplier procedure, which multiplies the original vectors with i.i.d. standard Gaussian random variables; 3) we extend the Gaussian approximation result and Gaussian multiplier bootstrap procedure to a more general case where diverges; 4) we further consider the Gaussian approximation for a square sum of the first d largest coordinates of X. All these results allow the dimension p of random vectors to be as large as or much larger than the sample size n.
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