High Dimensional Bootstrap and Asymptotic Expansion for the $k$-th Largest Coordinate

Abstract

We study bootstrap inference for the $k$th largest coordinate of a normalized sum of independent high-dimensional random vectors. Existing second-order theory for maxima does not directly extend to order statistics, because the event $\{T_{n,[k]}\le t\}$ is not a rectangle and its local structure is governed by exceedance counts rather than by a single boundary. We develop an approach based on factorial moments and weighted inclusion--exclusion that reduces the problem to a collection of rare-orthant probabilities and allows high-dimensional Edgeworth and Cornish--Fisher expansions to be transferred to the order-statistic setting. Under moment, variance, and weak-dependence conditions, we derive a second-order coverage expansion for wild-bootstrap critical values of the $k$th order statistic. In particular, a third-moment matching wild bootstrap achieves coverage error of order $n^{-1}$ up to logarithmic factors, and the same second-order accuracy is obtained for a prepivoted double wild bootstrap. We also show that the maximal-correlation condition can be replaced by a stationary Gaussian exponential-mixing assumption at the price of an explicit dependence remainder $r_d$, and this remainder can itself be of order $n^{-1}$ when the dimension is sufficiently large relative to the sample size. These results extend recent second-order Gaussian and bootstrap approximation theory from maxima to the $k$th order statistic in high dimension.

Theorems & Definitions (78)

• Remark 2.1
• Remark 2.2
• Remark 2.3
• Remark 2.4
• Theorem 2.1
• Corollary 2.1: Third-moment matching
• Corollary 2.2: Persistence of the first-order term
• Theorem 2.2
• Theorem 2.3: Stationary exponential-mixing alternative
• Remark 2.5