Further refinement of self-normalized Cramér-type moderate deviations

DOI10.1051/PS/2017010zbMATH Open1393.60032arXiv1309.5433OpenAlexW2963914868MaRDI QIDQ4578049FDOQ4578049

Lin Ge, Hailin Sang

Publication date: 7 August 2018

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Abstract: In this paper, we study the self-normalized Crama'{e}r-type moderate deviations for centered independent random variables $X_1,X_2,\mathrm{...}$ with $0<E|X_i{|}^3<infty$. The main results refine Theorems 1.1 and 1.2 of Wang (2011), the Berry-Esseen bound (2.11) and Corollaries 2.2 and 2.3 of Jing, Shao and Wang (2003) under stronger moment conditions.

Full work available at URL: https://arxiv.org/abs/1309.5433

zbMATH Keywords

normal approximationself-normalized sumsCramér-type moderate deviations

Mathematics Subject Classification ID

Large deviations (60F10) Asymptotic distribution theory in statistics (62E20)

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Cited In (6)

• A refined Cramér-type moderate deviation for sums of local statistics
• Cramér type moderate deviations for trimmed \(L\)-statistics
• Central limit theorem and near classical Berry-Esseen rate for self normalized sums in high dimensions
• Self-normalized Cramér-type moderate deviations under dependence
• Cramér type moderate deviation theorems for self-normalized processes
• Cram'er type moderate deviations for the maximum of self-normalized sums

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