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 ($\alpha$-mixing, $m$-dependent, and physical dependence measure). In particular, we establish new error bounds under the $\alpha$-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 $\ell^2$ and $\ell^\infty$ type statistics, change point detection, and construction of confidence regions for covariance and precision matrices, all for time series data.
翻译:在高维时间序列数据分析中的统计推断问题推动下,我们首先得出了高方高度依赖性随机矢量在超矩形、简单convex 组合和稀有 convex 组合中的总和的Gausian 随机矢量的近似值的非防偏差界限。我们根据三个不同的依赖框架(=alpha$-mixing, $m$-max-maix, 依赖美元和物理依赖度衡量尺度),对高维依赖性高维随机矢量在超矩、简单 convex 组合和稀有的 convex 组合中的总和值的近似值进行统计。为了在实际统计问题中落实拟议结果,我们还根据长期共变矩阵的内核估计值,根据数据驱动的参数,制定了数据参数性比差程序。我们将统一的高尚和靴带近似结果用于测试平均矢量矢量与$\2美元和 $\ül_infty$ty$类型的统计、改变点检测和构建所有恒定度数据序列的信任区域。