An upper bound for functions of estimators in high dimensions

Abstract

We provide an upper bound as a random variable for the functions of estimators in high dimensions. This upper bound may help establish the rate of convergence of functions in high dimensions. The upper bound random variable may converge faster, slower, or at the same rate as estimators depending on the behavior of the partial derivative of the function. We illustrate this via three examples. The first two examples use the upper bound for testing in high dimensions, and third example derives the estimated out-of-sample variance of large portfolios. All our results allow for a larger number of parameters, p, than the sample size, n.

Keywords:

• Lasso
• many assets
• many restrictions

JEL classification:

• C1
• C55

Note

Notes

1 Under some regularity conditions, it follows that $\zeta (p_n)=O(p_n)$ for power series and $\zeta (p_n)=O\left(\sqrt{p_n}\right)$ for spline series (Corollary 15.1, Li and Racine, 2007).