English

A Sharp Lower-tail Bound for Gaussian Maxima with Application to Bootstrap Methods in High Dimensions

Probability 2021-12-02 v2 Statistics Theory Statistics Theory

Abstract

Although there is an extensive literature on the maxima of Gaussian processes, there are relatively few non-asymptotic bounds on their lower-tail probabilities. The aim of this paper is to develop such a bound, while also allowing for many types of dependence. Let (ξ1,,ξN)(\xi_1,\dots,\xi_N) be a centered Gaussian vector with standardized entries, whose correlation matrix RR satisfies maxijRijρ0\max_{i\neq j} R_{ij}\leq \rho_0 for some constant ρ0(0,1)\rho_0\in (0,1). Then, for any ϵ0(0,1ρ0)\epsilon_0\in(0,\sqrt{1-\rho_0}), we establish an upper bound on the probability P(max1jNξjϵ02log(N))\mathbb{P}(\max_{1\leq j\leq N} \xi_j\leq \epsilon_0\sqrt{2\log(N)}) in terms of (ρ0,ϵ0,N)(\rho_0,\epsilon_0,N). The bound is also sharp, in the sense that it is attained up to a constant, independent of NN. Next, we apply this result in the context of high-dimensional statistics, where we simplify and weaken conditions that have recently been used to establish near-parametric rates of bootstrap approximation. Lastly, an interesting aspect of this application is that it makes use of recent refinements of Bourgain and Tzafriri's "restricted invertibility principle".

Keywords

Cite

@article{arxiv.1809.08539,
  title  = {A Sharp Lower-tail Bound for Gaussian Maxima with Application to Bootstrap Methods in High Dimensions},
  author = {Miles E. Lopes and Junwen Yao},
  journal= {arXiv preprint arXiv:1809.08539},
  year   = {2021}
}
R2 v1 2026-06-23T04:15:10.103Z