Sequential Gaussian approximation for nonstationary time series in high dimensions

03/07/2022

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by   Fabian Mies, et al.

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Gaussian couplings of partial sum processes are derived for the high-dimensional regime d=o(n^1/3). The coupling is derived for sums of independent random vectors and subsequently extended to nonstationary time series. Our inequalities depend explicitly on the dimension and on a measure of nonstationarity, and are thus also applicable to arrays of random vectors. To enable high-dimensional statistical inference, a feasible Gaussian approximation scheme is proposed. Applications to sequential testing and change-point detection are described.