The moderate deviation principle for self-normalized sums of sums of i.i.d. random variables (Q1021806)

Let \(\{Y_{k};k\geq 1\}\) be a sequence of nondegenerate i.i.d. random variables with \(EY_{1}=0\) and partial sums \(S_{n}=Y_{1}+\dots+Y_{n}.\) The authors assume that \(Y_{1}\) is in the domain of attraction of the normal law, and consider a sequence \(z_{n}\rightarrow \infty \) such that \(a_{n}=nz_{n}^{-2}E[Y_{1}^{2}I\{\left| Y_{1}\right| \leq z_{n}\}]\rightarrow \infty .\) The main purpose of this note is to show that the vector \((a_{n}^{-1}z_{n}^{-1}\sum_{k=1}^{n}S_{k}/k,\) \(a_{n}^{-1}z_{n}^{-2}\sum_{k=1}^{n}Y_{k}^{2})\) satisfies the moderate deviation principle.