Title:Gaussian Approximation for High-Dimensional Second-Order $U$ and $V$-statistics with Size-Dependent Kernels under i.n.i.d. Sampling

Abstract:We develop Gaussian approximations for high-dimensional vectors formed by second-order $U$ and $V$-statistics whose kernels depend on sample size under independent but not identically distributed (i.n.i.d.) sampling. Our results hold irrespective of which component of the Hoeffding decomposition is dominant, thereby covering both non-degenerate and degenerate regimes as special cases. By allowing i.n.i.d. sampling, the class of statistics we analyze includes weighted $U$- and $V$-statistics and two-sample $U$- and $V$-statistics as special cases, which cover estimators of parameters in regression models with many covariates, many-weak instruments as well as a broad class of smoothed two-sample tests, to name but a few. In addition, we extend sharp maximal inequalities for $U$-statistics with size-dependent kernels from the i.i.d. to the i.n.i.d. setting, which may be of independent interest.