Precise asymptotics in the deviation probability series of self-normalized sums
Let \(X_1,X_2,\dots\) be independent identically distributed random variables with zero mean. Define \[ S_n=X_1+\dots+X_n, \quad W_n^2=X_1^2+\dots+X_n^2. \] Let \(g\) and \(\phi\) be functions satisfying appropriate conditions and let \(\varepsilon_0>0\) be a constant. The author computes the asymptotics as \(\varepsilon\to\varepsilon_0\) of \[ \sum_{n=1}^{\infty} g(\phi(n))\phi'(n)\mathbb P\left[\left|\frac{S_n}{W_n}\right|> \varepsilon \phi(n)\right] \] and \[ \sum_{n\to\infty}^{\infty}g(\phi(n))\phi'(n)\mathbb P\left[\left(\frac{S_n}{W_n}\right)^2 1_{\{S_n\geq \varepsilon W_n \phi(n)\}}\right]. \] With various choices for \(g\) and \(\varphi\) the author recovers several results of \textit{Y.\ Zhao} and \textit{J.\ Tao} [Comput.\ Math.\ Appl.\ 56, No.~7, 1779--1786 (2008; Zbl 1152.60315)] and \textit{T.-X.\ Pang, L.-X.\ Wang} and \textit{J.-F.\ Zhang} [J.\ Math.\ Anal.\ Appl.\ 340, No.~2, 1249--1262 (2008; Zbl 1140.60023)] and obtains a number of new results. For instance, the following formula is derived: \[ \lim_{\varepsilon\downarrow 0}\exp\left\{-\frac{(a+1)^2}{2\varepsilon^2}\right\}\varepsilon^{2b}\sum_{n=3}^{\infty}\frac{(\log n)^a(\log\log n)^b}{n}\mathbb P\left[\left|\frac{S_n}{W_n}\right|> \varepsilon\log\log n\right]=2(a+1)^{b-1}. \]
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