A Berry–Esseen bound for vector-valued martingales
Author
Abstract
Suggested Citation
DOI: 10.1016/j.spl.2022.109448
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Victor Chernozhukov & Denis Chetverikov & Kengo Kato, 2012.
"Gaussian approximations and multiplier bootstrap for maxima of sums of high-dimensional random vectors,"
Papers
1212.6906, arXiv.org, revised Jan 2018.
- Victor Chernozhukov & Denis Chetverikov & Kengo Kato, 2013. "Gaussian approximations and multiplier bootstrap for maxima of sums of high-dimensional random vectors," CeMMAP working papers 76/13, Institute for Fiscal Studies.
- Victor Chernozhukov & Denis Chetverikov & Kengo Kato, 2013. "Gaussian approximations and multiplier bootstrap for maxima of sums of high-dimensional random vectors," CeMMAP working papers CWP76/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Victor Chernozhukov & Denis Chetverikov & Kengo Kato & Yuta Koike, 2019. "Improved Central Limit Theorem and bootstrap approximations in high dimensions," Papers 1912.10529, arXiv.org, revised May 2022.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Kojevnikov, Denis & Song, Kyungchul, 2023. "Econometric inference on a large Bayesian game with heterogeneous beliefs," Journal of Econometrics, Elsevier, vol. 237(1).
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Magne Mogstad & Joseph P Romano & Azeem M Shaikh & Daniel Wilhelm, 2024.
"Inference for Ranks with Applications to Mobility across Neighbourhoods and Academic Achievement across Countries,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 91(1), pages 476-518.
- Magne Mogstad & Joseph P. Romano & Azeem Shaikh & Daniel Wilhelm, 2020. "Inference for Ranks with Applications to Mobility across Neighborhoods and Academic Achievement across Countries," NBER Working Papers 26883, National Bureau of Economic Research, Inc.
- Magne Mogstad & Joseph P. Romano & Azeem M. Shaikh & Daniel Wilhelm, 2023. "Inference for ranks with applications to mobility across neighborhoods and academic achievement across countries," CeMMAP working papers 03/23, Institute for Fiscal Studies.
- Magne Mogstad & Joseph P. Romano & Azeem M. Shaikh & Daniel Wilhelm, 2020. "Inference for Ranks with Applications to Mobility across Neighborhoods and Academic Achievement across Countries," RF Berlin - CReAM Discussion Paper Series 2008, Rockwool Foundation Berlin (RF Berlin) - Centre for Research and Analysis of Migration (CReAM).
- Magne Mogstad & Joseph P. Romano & Azeem M. Shaikh & Daniel Wilhelm, 2020. "Inference for Ranks with Applications to Mobility across Neighborhoods and Academic Achievement across Countries," Working Papers 2020-16, Becker Friedman Institute for Research In Economics.
- Magne Mogstad & Joseph P. Romano & Azeem M. Shaikh & Daniel Wilhelm, 2021. "Inference for ranks with applications to mobility across neighborhoods and academic achievement across countries," CeMMAP working papers CWP17/21, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Magne Mogstad & Joseph P. Romano & Daniel Wilhelm & Azeem M. Shaikh, 2020. "Inference for ranks with applications to mobility across neighborhoods and academic achievement across countries," CeMMAP working papers CWP10/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Matias D. Cattaneo & Ricardo P. Masini & William G. Underwood, 2022. "Yurinskii's Coupling for Martingales," Papers 2210.00362, arXiv.org, revised Mar 2024.
- Victor Chernozhukov & Denis Chetverikov & Kengo Kato & Yuta Koike, 2022. "High-dimensional Data Bootstrap," Papers 2205.09691, arXiv.org.
- Cheng, Guanghui & Liu, Zhi & Peng, Liuhua, 2022. "Gaussian approximations for high-dimensional non-degenerate U-statistics via exchangeable pairs," Statistics & Probability Letters, Elsevier, vol. 182(C).
- Chang, Jinyuan & Jiang, Qing & Shao, Xiaofeng, 2023. "Testing the martingale difference hypothesis in high dimension," Journal of Econometrics, Elsevier, vol. 235(2), pages 972-1000.
- Anders Bredahl Kock & David Preinerstorfer, 2023. "A remark on moment-dependent phase transitions in high-dimensional Gaussian approximations," Papers 2310.12863, arXiv.org, revised Feb 2024.
- Sokbae Lee & Ryo Okui & Yoon†Jae Whang, 2017.
"Doubly robust uniform confidence band for the conditional average treatment effect function,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(7), pages 1207-1225, November.
- Sokbae Lee & Ryo Okui & Yoon-Jae Whang, 2016. "Doubly Robust Uniform Confidence Band for the Conditional Average Treatment Effect Function," Papers 1601.02801, arXiv.org, revised Oct 2016.
- Lee, Sokbae & Okui, Ryo & Whang, Yoon-Jae, 2017. "Doubly robust uniform confidence band for the conditional average treatment effect function," LSE Research Online Documents on Economics 86852, London School of Economics and Political Science, LSE Library.
- Sokbae (Simon) Lee & Ryo Okui & Yoon-Jae Whang, 2016. "Doubly robust uniform confidence band for the conditional average treatment effect function," CeMMAP working papers 03/16, Institute for Fiscal Studies.
- Sokbae (Simon) Lee & Ryo Okui & Yoon-Jae Whang, 2016. "Doubly robust uniform confidence band for the conditional average treatment effect function," CeMMAP working papers CWP03/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Sokbae Lee & Ryo Okui & Yoon-Jae Whang, 2016. "Doubly Robust Uniform Confidence Band For The Conditional Average Treatment Effect Function," KIER Working Papers 931, Kyoto University, Institute of Economic Research.
- Victor Chernozhukov & Denis Chetverikov & Kengo Kato, 2013.
"Testing Many Moment Inequalities,"
CeMMAP working papers
65/13, Institute for Fiscal Studies.
- Victor Chernozhukov & Denis Chetverikov & Kengo Kato, 2016. "Testing many moment inequalities," CeMMAP working papers CWP42/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Victor Chernozhukov & Denis Chetverikov & Kengo Kato, 2016. "Testing many moment inequalities," CeMMAP working papers 42/16, Institute for Fiscal Studies.
- Victor Chernozhukov & Denis Chetverikov & Kengo Kato, 2014. "Testing many moment inequalities," CeMMAP working papers 52/14, Institute for Fiscal Studies.
- Victor Chernozhukov & Denis Chetverikov & Kengo Kato, 2014. "Testing many moment inequalities," CeMMAP working papers CWP52/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Victor Chernozhukov & Denis Chetverikov & Kengo Kato, 2013. "Testing Many Moment Inequalities," CeMMAP working papers CWP65/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Alexandre Belloni & Victor Chernozhukov & Denis Chetverikov & Christian Hansen & Kengo Kato, 2018.
"High-dimensional econometrics and regularized GMM,"
CeMMAP working papers
CWP35/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Alexandre Belloni & Victor Chernozhukov & Denis Chetverikov & Christian Hansen & Kengo Kato, 2018. "High-Dimensional Econometrics and Regularized GMM," Papers 1806.01888, arXiv.org, revised Jun 2018.
- Thilo Reinschlussel & Martin C. Arnold, 2024. "Information-Enriched Selection of Stationary and Non-Stationary Autoregressions using the Adaptive Lasso," Papers 2402.16580, arXiv.org.
- Victor Chernozhukov & Denis Chetverikov & Kengo Kato, 2014.
"Central limit theorems and bootstrap in high dimensions,"
CeMMAP working papers
CWP49/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Victor Chernozhukov & Denis Chetverikov & Kengo Kato, 2016. "Central limit theorems and bootstrap in high dimensions," CeMMAP working papers 39/16, Institute for Fiscal Studies.
- Victor Chernozhukov & Denis Chetverikov & Kengo Kato, 2016. "Central limit theorems and bootstrap in high dimensions," CeMMAP working papers CWP39/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Victor Chernozhukov & Denis Chetverikov & Kengo Kato, 2014. "Central limit theorems and bootstrap in high dimensions," CeMMAP working papers 49/14, Institute for Fiscal Studies.
- Belloni, Alexandre. & Chen, Mingli & Chernozhukov, Victor, 2016.
"Quantile Graphical Models: Prediction and Conditional Independence with Applications to Financial Risk Management,"
The Warwick Economics Research Paper Series (TWERPS)
1125, University of Warwick, Department of Economics.
- Belloni, Alexandre & Chen, Mingli & Chernozhukov, Victor, 2016. "Quantile Graphical Models : Prediction and Conditional Independence with Applications to Financial Risk Management," Economic Research Papers 269321, University of Warwick - Department of Economics.
- Hidalgo, Javier & Schafgans, Marcia, 2017. "Inference and testing breaks in large dynamic panels with strong cross sectional dependence," Journal of Econometrics, Elsevier, vol. 196(2), pages 259-274.
- Mayya Zhilova, 2015. "Simultaneous likelihood-based bootstrap confidence sets for a large number of models," SFB 649 Discussion Papers SFB649DP2015-031, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Victor Chernozhukov & Chris Hansen & Martin Spindler, 2016.
"hdm: High-Dimensional Metrics,"
Papers
1608.00354, arXiv.org.
- Victor Chernozhukov & Christian Hansen & Martin Spindler, 2016. "hdm: High-Dimensional Metrics," CeMMAP working papers 37/16, Institute for Fiscal Studies.
- Victor Chernozhukov & Christian Hansen & Martin Spindler, 2016. "hdm: High-Dimensional Metrics," CeMMAP working papers CWP37/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Eric Gautier & Christiern Rose, 2022. "Fast, Robust Inference for Linear Instrumental Variables Models using Self-Normalized Moments," Papers 2211.02249, arXiv.org, revised Nov 2022.
- Vladimir Spokoiny & Mayya Zhilova, 2014. "Bootstrap confidence sets under model misspecification," SFB 649 Discussion Papers SFB649DP2014-067, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Denis Chetverikov & Jesper R.-V. Sørensen, 2021. "Analytic and Bootstrap-after-Cross-Validation Methods for Selecting Penalty Parameters of High-Dimensional M-Estimators," Discussion Papers 21-04, University of Copenhagen. Department of Economics.
- Bakalli, Gaetan & Guerrier, Stéphane & Scaillet, Olivier, 2023.
"A penalized two-pass regression to predict stock returns with time-varying risk premia,"
Journal of Econometrics, Elsevier, vol. 237(2).
- Gaetan Bakalli & Stéphane Guerrier & Olivier Scaillet, 2021. "A penalized two-pass regression to predict stock returns with time-varying risk premia," Swiss Finance Institute Research Paper Series 21-09, Swiss Finance Institute.
- Gaetan Bakalli & Stéphane Guerrier & Olivier Scaillet, 2023. "A penalized two-pass regression to predict stock returns with time-varying risk premia," Post-Print hal-04325655, HAL.
- Gaetan Bakalli & St'ephane Guerrier & Olivier Scaillet, 2022. "A penalized two-pass regression to predict stock returns with time-varying risk premia," Papers 2208.00972, arXiv.org.
- Christian Hansen & Damian Kozbur & Sanjog Misra, 2016. "Targeted undersmoothing," ECON - Working Papers 282, Department of Economics - University of Zurich, revised Apr 2018.
More about this item
Keywords
Berry–Esseen bound; Gaussian approximation; Martingale-difference sequence; Vector-valued martingale;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:186:y:2022:i:c:s0167715222000517. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.