Self-normalized Cramér type moderate deviations for martingales

DOI10.3150/18-BEJ1071MaRDI QIDQ2325341zbMATH OpenOpenAlexFDO

Authors Xiequan Fan, Ion Grama, Quansheng Liu, Q. M. Shao

Publication date 25 September 2019

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1712.04756, https://projecteuclid.org/euclid.bj/1568362043

zbMATH Keywords

Cramér's moderate deviationsindependent random variablesmartingalesself-normalized sequences

Mathematics Subject Classification ID

Large deviations (60F10) Martingales with discrete parameter (60G42)

Abstract: Let $(x{i}_i,mathcal{F}_i{)}_{igeq1}$ be a sequence of martingale differences. Set $S_n=su{m}_{i=1}^{n}x{i}_i$ and $[S{]}_n=su{m}_{i=1}^{n}x{i}_i^2.$ We prove a Cram'er type moderate deviation expansion for $mathbfP(S_n/sqrt[S{]}_{n}geqx)$ as $no+infty.$ Our results partly extend the earlier work of [Jing, Shao and Wang, 2003] for independent random variables.

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