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Inference for high-dimensional exchangeable arrays

Harold D. Chiang, Kengo Kato and Yuya Sasaki

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Abstract: We consider inference for high-dimensional separately and jointly exchangeable arrays where the dimensions may be much larger than the sample sizes. For both exchangeable arrays, we first derive high-dimensional central limit theorems over the rectangles and subsequently develop novel multiplier bootstraps with theoretical guarantees. These theoretical results rely on new technical tools such as Hoeffding-type decomposition and maximal inequalities for the degenerate components in the Hoeffiding-type decomposition for the exchangeable arrays. We exhibit applications of our methods to uniform confidence bands for density estimation under joint exchangeability and penalty choice for $\ell_1$-penalized regression under separate exchangeability. Extensive simulations demonstrate precise uniform coverage rates. We illustrate by constructing uniform confidence bands for international trade network densities.

Date: 2020-09, Revised 2021-07
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Handle: RePEc:arx:papers:2009.05150