Large deviations for martingales via Cramér's method (Q1613595): Difference between revisions

The paper presents large deviation results for discrete martingales. The derived estimates are closed to the estimate in i.i.d. case. The range \([1,O(n^{1/6})]\), respectively \([1,O(n^{1/4})]\), is covered in regular cases.

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zbMATH Keywords

martingales

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large deviations

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rate of convergence

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reviewed by

Petr Lachout

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MaRDI profile type

MaRDI publication profile

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cites work

Q3761357

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Exact convergence rates in some martingale central limit theorems

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Certain non-uniform rates of convergence to normality for martingale differences

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Certain non-uniform rates of convergence to normality for a restricted class of martingales

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The probabilities of large deviations for semimartingales

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On moderate deviations for martingales

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Q4303972

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Large deviations for unbounded additive functionals of a Markov process with discrete time (noncompact case)

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Limit theorems on large deviations for semimartingales

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Q4085017

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Probabilities of large deviations for martingales

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Large deviations for martingales with some applications

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Q3993391

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Identifiers

zbMATH Open document ID

0997.60019

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DOI

10.1016/S0304-4149(99)00079-4

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:1613595

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / cites work @@
+Q3761357
@@ Property / cites work: Q3761357 / rank @@
+Normal rank
@@ Property / cites work @@
+Exact convergence rates in some martingale central limit theorems
+Normal rank
@@ Property / cites work @@
+Certain non-uniform rates of convergence to normality for martingale differences
+Normal rank
@@ Property / cites work @@
+Certain non-uniform rates of convergence to normality for a restricted class of martingales
+Normal rank
@@ Property / cites work @@
+The probabilities of large deviations for semimartingales
+Normal rank
@@ Property / cites work @@
+On moderate deviations for martingales
@@ Property / cites work: On moderate deviations for martingales / rank @@
+Normal rank
@@ Property / cites work @@
+Q4303972
@@ Property / cites work: Q4303972 / rank @@
+Normal rank
@@ Property / cites work @@
+Large deviations for unbounded additive functionals of a Markov process with discrete time (noncompact case)
+Normal rank
@@ Property / cites work @@
+Limit theorems on large deviations for semimartingales
+Normal rank
@@ Property / cites work @@
+Q4085017
@@ Property / cites work: Q4085017 / rank @@
+Normal rank
@@ Property / cites work @@
+Probabilities of large deviations for martingales
@@ Property / cites work: Probabilities of large deviations for martingales / rank @@
+Normal rank
@@ Property / cites work @@
+Large deviations for martingales with some applications
+Normal rank
@@ Property / cites work @@
+Q3993391
@@ Property / cites work: Q3993391 / rank @@
+Normal rank