Bootstrapping Max Statistics in High Dimensions: Near-Parametric Rates Under Weak Variance Decay and Application to Functional Data Analysis
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In recent years, bootstrap methods have drawn attention for their ability to approximate the laws of "max statistics" in high-dimensional problems. A leading example of such a statistic is the coordinate-wise maximum of a sample average of n random vectors in R^p. Existing results for this statistic show that the bootstrap can work when nāŖ p, and rates of approximation (in Kolmogorov distance) have been obtained with only logarithmic dependence in p. Nevertheless, one of the challenging aspects of this setting is that established rates tend to scale like n^-1/6 as a function of n. The main purpose of this paper is to demonstrate that improvement in rate is possible when extra model structure is available. Specifically, we show that if the coordinate-wise variances of the observations exhibit decay, then a nearly n^-1/2 rate can be achieved, independent of p. Furthermore, a surprising aspect of this dimension-free rate is that it holds even when the decay is very weak. As a numerical illustration, we show how these ideas can be used in the context of functional data analysis to construct simultaneous confidence intervals for the Fourier coefficients of a mean function.
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