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arXiv · 2212.05355

High-dimensional Berry-Esseen Bound for $m$-Dependent Random Samples

Heejong Bong·Arun Kumar Kuchibhotla·Alessandro Rinaldo
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Abstract

In this work, we provide a $(n/m)^{-1/2}$-rate finite sample Berry-Esseen bound for $m$-dependent high-dimensional random vectors over the class of hyper-rectangles. This bound imposes minimal assumptions on the random vectors such as nondegenerate covariances and finite third moments. The proof uses inductive relationships between anti-concentration inequalities and Berry--Esseen bounds, which are inspired by the telescoping method of Chen and Shao (2004) and the recursion method of Kuchibhotla and Rinaldo (2020). Performing a dual induction based on the relationships, we obtain tight Berry-Esseen bounds for dependent samples.

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Heejong Bong, Arun Kumar Kuchibhotla, Alessandro Rinaldo. 2022-12-10. High-dimensional Berry-Esseen Bound for $m$-Dependent Random Samples. https://arxiv.org/abs/2212.05355

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