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Central limit theorems for high dimensional dependent data

Abstract

Motivated by statistical inference problems in high-dimensional time series data analysis, we first derive non-asymptotic error bounds for Gaussian approximations of sums of high-dimensional dependent random vectors on hyper-rectangles, simple convex sets and sparsely convex sets. We investigate the quantitative effect of temporal dependence on the rates of convergence to a Gaussian random vector over three different dependency frameworks (α\alpha-mixing, mm-dependent, and physical dependence measure). In particular, we establish new error bounds under the α\alpha-mixing framework and derive faster rate over existing results under the physical dependence measure. To implement the proposed results in practical statistical inference problems, we also derive a data-driven parametric bootstrap procedure based on a kernel estimator for the long-run covariance matrices. We apply the unified Gaussian and bootstrap approximation results to test mean vectors with combined 2\ell^2 and \ell^\infty type statistics, change point detection, and construction of confidence regions for covariance and precision matrices, all for time series data.

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