Gaussian approximations for maxima of random vectors under (2+ι)-th moments

Qiang Sun

Statistics & Probability Letters, 2020, vol. 158, issue C

Abstract: We derive a Gaussian approximation result for the maximum of a sum of random vectors under (2+ι)-th moments. Our main theorem is abstract and nonasymptotic, and can be applied to a variety of statistical learning problems. The proof uses the Lindeberg telescopic sum device along with some other newly developed technical results.

Keywords: Gaussian approximation; Maxima (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.spl.2019.05.022

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