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

Research, Preprint, Other literature type English OPEN
Chernozhukov, Victor; Chetverikov, Denis; Kato, Kengo;

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 t... View more
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