On moderate deviations for martingales

DOI10.1214/aop/1024404283zbMath0881.60026OpenAlexW1987784253MaRDI QIDQ1356336

I. G. Grama

Publication date: 26 January 1998

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1024404283

zbMATH Keywords

rate of convergencecentral limit theoremmartingalemoderate deviation

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Large deviations (60F10) Approximations to statistical distributions (nonasymptotic) (62E17)

Related Items

Non-uniform Berry–Esseen bounds for martingales with applications to statistical estimation ⋮ Large deviations for martingales via Cramér's method ⋮ A moderate deviation for associated random variables ⋮ Moderate deviations for neutral stochastic differential delay equations with jumps ⋮ Self-normalized Cramér type moderate deviations for stationary sequences and applications ⋮ LARGE SYSTEM OF SEEMINGLY UNRELATED REGRESSIONS: A PENALIZED QUASI-MAXIMUM LIKELIHOOD ESTIMATION PERSPECTIVE ⋮ An asymptotic expansion for probabilities of moderate deviations for multivariate martingales ⋮ Stein's method in high dimensions with applications ⋮ A Darling-Erdős type result for stationary ellipsoids ⋮ On martingale approximations and the quenched weak invariance principle ⋮ A generalization of Cramér large deviations for martingales ⋮ Large deviations of realized volatility ⋮ Covariance estimation via sparse Kronecker structures ⋮ Moderate deviation principles for stochastic differential equations with jumps ⋮ Berry-Esseen theorems under weak dependence ⋮ An asymptotic theory for sample covariances of Bernoulli shifts ⋮ 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 ⋮ Moderate deviations for martingale differences and applications to φ -mixing sequences

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the rate of convergence in the central limit theorem for martingales with discrete and continuous time
• A nonuniform bound on the rate of convergence in the martingale central limit theorem
• On probabilities of large deviations in Banach spaces
• Exact convergence rates in some martingale central limit theorems
• Asymptotic normality of MRPP statistics from invariance principles of u-statistics
• On the Rate of Convergence in the Central Limit Theorem for Semimartingales
• On the rate of convergence in the central limit theorem for d-dimensional semimartingales
• The probabilities of large deviations for semimartingales
• On the Departure from Normality of a Certain Class of Martingales