Self-normalized Cramér-type moderate deviations under dependence

DOI10.1214/15-AOS1429zbMATH Open1359.62060arXiv1409.3642MaRDI QIDQ309727FDOQ309727

Q. M. Shao, Lihu Xu, Wei Biao Wu, Xiaohong Chen

Publication date: 7 September 2016

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

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.

Full work available at URL: https://arxiv.org/abs/1409.3642

zbMATH Keywords

absolutely regularfunctional dependence measuresultra-high dimensional time seriesCramér-type moderate deviation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Large deviations (60F10) Asymptotic distribution theory in statistics (62E20)

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