Self-normalized Cramér-type moderate deviations under dependence
From MaRDI portal
(Redirected from Publication:309727)
Abstract: We establish a Cram'er-type moderate deviation result for self-normalized sums of weakly dependent random variables, where the moment requirement is much weaker than the non-self-normalized counterpart. The range of the moderate deviation is shown to depend on the moment condition and the degree of dependence of the underlying processes. We consider two types of self-normalization: the big-block-small-block scheme and the interlacing or equal-block scheme. Simulation study shows that the latter can have a better finite-sample performance. Our result is applied to multiple testing and construction of simultaneous confidence intervals for high-dimensional time series mean vectors.
Recommendations
- Cramér type moderate deviation theorems for self-normalized processes
- Further refinement of self-normalized Cramér-type moderate deviations
- Self-normalized Cramér type moderate deviations for martingales
- Self-normalized moderate deviations for independent random variables
- Self-normalized Cramér type moderate deviations for stationary sequences and applications
- Self-normalized Cramér-type moderate deviations for functionals of Markov chain
- Self-normalized Cramér type moderate deviations for the maximum of sums
- Refined Cramér-type moderate deviation theorems for general self-normalized sums with applications to dependent random variables and winsorized mean
- Self-normalized Cramér-type large deviations for independent random variables.
- On the self-normalized Cramér-type large deviation
Cites work
- scientific article; zbMATH DE number 5503197 (Why is no real title available?)
- scientific article; zbMATH DE number 27023 (Why is no real title available?)
- scientific article; zbMATH DE number 48093 (Why is no real title available?)
- A Cramér moderate deviation theorem for Hotelling's \(T^{2}\)-statistic with applications to global tests
- A remark on self-normalization for dependent random variables
- A two-sample test for high-dimensional data with applications to gene-set testing
- Asymptotic Statistics
- Asymptotic theory for stationary processes
- Bootstraps for time series
- Consistency of the maximum likelihood estimator for general hidden Markov models
- Convergence of Distributions Generated by Stationary Stochastic Processes
- Convergence rates in the strong law for bounded mixing sequences
- Copulas and temporal dependence
- Efficient estimation of copula-based semiparametric Markov models
- Exponential inequalities for self-normalized martingales with applications
- Functional-Coefficient Autoregressive Models
- High dimensional generalized empirical likelihood for moment restrictions with dependent data
- Introduction to strong mixing conditions. Vol. 3.
- Limit theorems for iterated random functions
- MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
- Markov chains and stochastic stability
- Non-strong mixing autoregressive processes
- Nonlinear system theory: Another look at dependence
- Nonlinear time series. Nonparametric and parametric methods
- Nonlinearity and temporal dependence
- Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality
- Parameter estimation in nonlinear AR-GARCH models
- Regular variation of GARCH processes.
- Resampling methods for dependent data
- Self-Normalized Processes
- Self-normalized Cramér type moderate deviations for the maximum of sums
- Self-normalized Cramér-type large deviations for independent random variables.
- Self-normalized Cramér-type moderate deviations under dependence
- Self-normalized limit theorems: a survey
- Some mixing properties of time series models
- Subsampling
- Tail behavior and OLS estimation in AR-GARCH models
- To How Many Simultaneous Hypothesis Tests Can Normal, Student'stor Bootstrap Calibration Be Applied?
- Weak convergence for weighted empirical processes of dependent sequences
- Weak dependence. With examples and applications.
- Weakly dependent chains with infinite memory
Cited in
(25)- Estimation of the limit variance for sums under a new weak dependence condition
- Cramér-type moderate deviations under local dependence
- scientific article; zbMATH DE number 7709548 (Why is no real title available?)
- Central limit theorem and self-normalized Cramér-type moderate deviation for Euler-Maruyama scheme
- Normalized and self-normalized Cramér-type moderate deviations for the Euler-Maruyama scheme for the SDE
- Cramér type moderate deviations for self-normalized \(\psi \)-mixing sequences
- Self-normalization: taming a wild population in a heavy-tailed world
- Inference with High-Dimensional Weak Instruments and the New Keynesian Phillips Curve
- Data-Driven Tuning Parameter Selection for High-Dimensional Vector Autoregressions
- A Berry-Esseen bound with (almost) sharp dependence conditions
- Cramér moderate deviation expansion for martingales with one-sided Sakhanenko's condition and its applications
- Conditional rotation between forecasting models
- Berry-Esseen bounds for self-normalized sums of locally dependent random variables
- Self-normalized Cramér type moderate deviations for martingales and applications
- Self-normalized Cramér-type moderate deviations under dependence
- On self-normalization for censored dependent data
- Cramér type moderate deviation theorems for self-normalized processes
- Self-normalized Cramér-type moderate deviations for functionals of Markov chain
- Refined Cramér-type moderate deviation theorems for general self-normalized sums with applications to dependent random variables and winsorized mean
- Self-normalized Cramér type moderate deviations for stationary sequences and applications
- Cramér-type moderate deviation for the maximum of the periodogram with application to simultaneous tests in gene expression time series
- Self-normalized Cramér-type moderate deviations for explosive Vasicek model
- Large deviations for a super-heavy tailed \(\beta\)-mixing sequence
- Validating approximate slope homogeneity in large panels
- Cram'er type moderate deviations for the maximum of self-normalized sums
This page was built for publication: Self-normalized Cramér-type moderate deviations under dependence
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q309727)
