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A UNIFORM BOUND ON THE OPERATOR NORM OF SUB-GAUSSIAN RANDOM MATRICES AND ITS APPLICATIONS

Published online by Cambridge University Press:  04 June 2021

Grigory Franguridi  and
Hyungsik Roger Moon
Grigory Franguridi
Affiliation:
University of Southern California
Hyungsik Roger Moon*
Affiliation:
University of Southern California and Yonsei University
*
Address correspondence to Hyungsik Roger Moon, Department of Economics, University of Southern California, Los Angeles, CA, USA; e-mail: moonr@usc.edu.
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Abstract

For an $N \times T$ random matrix $X(\beta )$ with weakly dependent uniformly sub-Gaussian entries $x_{it}(\beta )$ that may depend on a possibly infinite-dimensional parameter $\beta \in \mathbf {B}$ , we obtain a uniform bound on its operator norm of the form $\mathbb {E} \sup _{\beta \in \mathbf {B}} ||X(\beta )|| \leq CK \left (\sqrt {\max (N,T)} + \gamma _2(\mathbf {B},d_{\mathbf {B}})\right )$ , where C is an absolute constant, K controls the tail behavior of (the increments of) $x_{it}(\cdot )$ , and $\gamma _2(\mathbf {B},d_{\mathbf {B}})$ is Talagrand’s functional, a measure of multiscale complexity of the metric space $(\mathbf {B},d_{\mathbf {B}})$ . We illustrate how this result may be used for estimation that seeks to minimize the operator norm of moment conditions as well as for estimation of the maximal number of factors with functional data.

Type
ARTICLES
Information
Econometric Theory , Volume 38 , Issue 6: YALE 2018 CONFERENCE IN HONOR OF PETER C. B. PHILLIPS: PART II , December 2022 , pp. 1073 - 1091
Copyright
© The Author(s), 2021. Published by Cambridge University Press

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Footnotes

We appreciate valuable comments and suggestions from Victor Chernozhukov, Guido Kuersteiner (Co-Editor), three anonymous referees, and the participants of the conference on econometrics celebrating Peter Phillips’ 40 years at Yale.

References

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