Authors: | Victor Chernozhukov , Denis Chetverikov and Kengo Kato |

Date: | 01 December 2013 |

Type: | Journal article, Annals of Statistics, Vol. 41, No. 6, pp. 2786--2819 |

We derive a Gaussian approximation result for the maximum of a sum of high-dimensional random vectors. Specifically, we establish conditions under which the distribution of the maximum is approximated by that of the maximum of a sum of the Gaussian random vectors with the same covariance matrices as the original vectors. This result applies when the dimension of random vectors (

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Victor Chernozhukov, Denis Chetverikov and Kengo Kato December 2013,
Gaussian approximations and multiplier bootstrap for maxima of sums of high-dimensional random vectors,
cemmap Working Paper