Lindeberg's method for moderate deviations and random summation

DOI10.1007/S10959-019-00881-5MaRDI QIDQ1741887zbMATH OpenOpenAlexFDO

Authors Peter Eichelsbacher, M. Löwe

Publication date 7 May 2019

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1705.03837

zbMATH Keywords

Lindeberg's methodmoderate and large deviationsrandom sums

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Large deviations (60F10) Sums of independent random variables; random walks (60G50)

Abstract: We apply Lindeberg's method, invented to prove a central limit theorem, to analyze the moderate deviations around such a central limit theorem. In particular, we will show moderate deviation principles for martingales as well as for random sums, in the latter situation both, in the case when the limit distribution is Gaussian or non-Gaussian. Moreover in the Gaussian case we show moderate deviations for random sums using bounds on cumulants, alternatively. Finally, we also prove a large deviation principle for certain random sums.

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Cited in

(4)

• Cramér moderate deviation expansion for martingales with one-sided Sakhanenko's condition and its applications
• Moderate deviations via cumulants
• 90 years of the Lindeberg method
• Asymptotic results for compound sums in separable Banach spaces

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