Beyond Gaussian approximation: Bootstrap for maxima of sums of independent random vectors
Beyond Gaussian approximation: Bootstrap for maxima of sums of independent random vectors
The Bonferroni adjustment, or the union bound, is commonly used to study rate optimality properties of statistical methods in high-dimensional problems. However, in practice, the Bonferroni adjustment is overly conservative. The extreme value theory has been proven to provide more accurate multiplicity adjustments in a number of settings, but only …