A remark on moment-dependent phase transitions in high-dimensional Gaussian approximations

Anders Kock and David Preinerstorfer

Statistics & Probability Letters, 2024, vol. 211, issue C

Abstract: In this article, we study the critical growth rates of dimension below which Gaussian critical values can be used for hypothesis testing but beyond which they cannot. We are particularly interested in how these growth rates depend on the number of moments that the observations possess.

Keywords: High-dimensional Gaussian approximation; Phase-transition; Hypothesis testing (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1016/j.spl.2024.110149

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