On large deviations of self-normalized sum
Let \(X_1,X_2,\ldots\) be i.i.d. random variables with \(\text{ E}X=0\). The so-called self-normalized sum \(t_n\) is defined by \(t_n= (X_1+\cdots+X_n)/(X^2_1+\cdots+X^2_n)\). The large deviations theorem is proved for the self-normalized sum. The proof is based on the cumulant method of \textit{V. P. Leonov} and \textit{A. N. Shiryaev} [Theory Probab. Appl. 4, 319-329 (1960); translation from Teor. Veroyatn. Primen. 4, 342-355 (1959; Zbl 0087.33701)] and \textit{L. Saulis} and \textit{V. Statulevičius} [``Limit theorems of large deviations (1991; Zbl 0744.60028)].NEWLINENEWLINEFor the entire collection see [Zbl 0968.00043].
- Cram'er type moderate deviations for the maximum of self-normalized sums
- Self-normalized large deviations for Markov chains
- Finite sample distributions of self-normalized sums
- Self-normalized moderate deviations for independent random variables
- On the self-normalized Cramér-type large deviation
- scientific article; zbMATH DE number 6545529 (Why is no real title available?)
- A note on the self-normalized large deviation
- Further research on limit theorems for self-normalized sums
- Self-normalized large deviations under sublinear expectation
- Large deviations for quasi-arithmetically self-normalized random variables
- Refined self-normalized large deviations for independent random variables
- On Self-normalized Sums and Student's Statistic
- Limit theorems for self-normalized large deviation
- The asymptotic distribution of magnitude-Winsorized sums via self- normalization
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