Davis-type theorems for martingale difference sequences (Q2495092): Difference between revisions
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Latest revision as of 08:20, 5 March 2024
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English | Davis-type theorems for martingale difference sequences |
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Davis-type theorems for martingale difference sequences (English)
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30 June 2006
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Summary: We study Davis-type theorems on the optimal rate of convergence of moderate deviation probabilities. In the case of martingale difference sequences, under the finite \(p\)th moments hypothesis \((1\leq p < \infty)\), and depending on the normalization factor, our results show that Davis' theorems either hold if and only if \(p > 2\) or fail for all \(p \geq 1\). This is in sharp contrast with the classical case of i.i.d. centered sequences, where both Davis' theorems hold under the finite second moment hypothesis (or less).
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