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Contribution Details

Type Working Paper
Scope Discipline-based scholarship
Title Dimension-free anticoncentration bounds for Gaussian order statistics with discussion of applications to multiple testing
Organization Unit
  • Damian Kozbur
  • English
Institution University of Zurich
Series Name
Number 2107.10766
ISSN 2331-8422
Number of Pages 7
Date 2021
Abstract Text The following anticoncentration property is proved. The probability that the k-order statistic of an arbitrarily correlated jointly Gaussian random vector X with unit variance components lies within an interval of length ε is bounded above by 2εk(1 + E[‖X‖∞ ]). This bound has implications for generalized error rate control in statistical high-dimensional multiple hypothesis testing problems, which are discussed subsequently.
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