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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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:158:y:2020:i:c:s0167715219301518
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DOI: 10.1016/j.spl.2019.05.022
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