Gaussian Approximation for High Dimensional Time Series

Abstract: We consider the problem of approximating sums of high-dimensional stationary time series by Gaussian vectors, using the framework of functional dependence measure. The validity of the Gaussian approximation depends on the sample size $n$, the dimension $p$, the moment condition and the dependence of the underlying processes. We also consider an estimator for long-run covariance matrices and study its convergence properties. Our results allow constructing simultaneous confidence intervals for mean vectors of high-dimensional time series with asymptotically correct coverage probabilities. A Gaussian multiplier bootstrap method is proposed. A simulation study indicates the quality of Gaussian approximation with different $n$, $p$ under different moment and dependence conditions.