Optimal dimension growth rates in the high dimensional Central Limit Theorems

Source abstract

We investigate the optimal dimension growth rates for the high-dimensional Central Limit Theorem (CLT) over half spaces, Euclidean balls and Borel convex sets, under the existence of fourth moments. It has been observed in the literature that $d=o(n^c)$ with $0< c\leq 1/2$ is sufficient for the CLT to hold over Euclidean balls. As a consequence, the CLT over half spaces should ideally hold under similar dimension growth rates. In case of Borel convex sets, however $d= o(n^{c})$ with $0< c\leq 2/5$ is generally sufficient. The most recent results for CLT over Euclidean balls and Borel convex sets with respective rates $d= o(\sqrt{n})$ and $d= o(n^{2/5})$ is due to Fang and Koike (2024) and under the existence of fourth moments. In this paper, we investigate whether these sufficient growth rates of $d$ with respect to $n$ are also necessary. Thus, our results completely characterize the sharpness of dimension growth rates under existence of fourth moments across half-spaces, Euclidean balls, and Borel convex sets.