Statistical Inference for Ultrahigh Dimensional Location Parameter Based on Spatial Median

Abstract: Motivated by the widely used geometric median-of-means estimator in machine learning, this paper studies statistical inference for ultrahigh dimensionality location parameter based on the sample spatial median under a general multivariate model, including simultaneous confidence intervals construction, global tests, and multiple testing with false discovery rate control. To achieve these goals, we derive a novel Bahadur representation of the sample spatial median with a maximum-norm bound on the remainder term, and establish Gaussian approximation for the sample spatial median over the class of hyperrectangles. In addition, a multiplier bootstrap algorithm is proposed to approximate the distribution of the sample spatial median. The approximations are valid when the dimension diverges at an exponentially rate of the sample size, which facilitates the application of the spatial median in the ultrahigh dimensional region. The proposed approaches are further illustrated by simulations and analysis of a genomic dataset from a microarray study.