Large deviations for martingales via Cramér's method

DOI10.1016/S0304-4149(99)00079-4zbMath0997.60019MaRDI QIDQ1613595

Erich Haeusler, I. G. Grama

Publication date: 29 August 2002

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

rate of convergencemartingaleslarge deviations

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Large deviations (60F10)

Related Items (26)

Non-uniform Berry–Esseen bounds for martingales with applications to statistical estimation ⋮ Deviation inequalities for martingales with applications ⋮ On Wasserstein-1 distance in the central limit theorem for elephant random walk ⋮ Self-normalized deviation inequalities with application to \(t\)-statistic ⋮ Tightened exponential bounds for discrete-time conditionally symmetric martingales with bounded jumps ⋮ Cramér moderate deviation expansion for martingales with one-sided Sakhanenko's condition and its applications ⋮ Sharp large deviation results for sums of independent random variables ⋮ Self-normalized Cramér type moderate deviations for stationary sequences and applications ⋮ Rates of convergence in the central limit theorem for the elephant random walk with random step sizes ⋮ Analysis of the smoothly amnesia-reinforced multidimensional elephant random walk ⋮ Azuma-Hoeffding bounds for a class of urn models ⋮ Cramér-type moderate deviations under local dependence ⋮ Quantile coupling inequalities and their applications ⋮ A Berry-Esseen bound of order \(\frac{1}{\sqrt{n}}\) for martingales ⋮ Hoeffding's inequality for supermartingales ⋮ On the Wasserstein distance for a martingale central limit theorem ⋮ A generalization of Cramér large deviations for martingales ⋮ Large deviations of realized volatility ⋮ Sharp large deviations for sums of bounded from above random variables ⋮ Exact rates of convergence in some martingale central limit theorems ⋮ Cramér type moderate deviations for random fields ⋮ Cramér-type moderate deviations for stationary sequences of bounded random variables ⋮ Cramér type moderate deviations for self-normalized \(\psi \)-mixing sequences ⋮ Self-normalized Cramér type moderate deviations for martingales ⋮ Cramér moderate deviations for the elephant random walk ⋮ Moderate deviations for martingale differences and applications to φ -mixing sequences

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Probabilities of large deviations for martingales
• Exact convergence rates in some martingale central limit theorems
• Large deviations for unbounded additive functionals of a Markov process with discrete time (noncompact case)
• On moderate deviations for martingales
• Large deviations for martingales with some applications
• Certain non-uniform rates of convergence to normality for a restricted class of martingales
• Limit theorems on large deviations for semimartingales
• The probabilities of large deviations for semimartingales
• Certain non-uniform rates of convergence to normality for martingale differences

This page was built for publication: Large deviations for martingales via Cramér's method