Cramér-type moderate deviation for quadratic forms with a fast rate

DOI10.3150/22-BEJ1549zbMATH Open1515.60066arXiv2111.00679OpenAlexW4367318125MaRDI QIDQ6160987FDOQ6160987

Authors: Xiao Fang, Songhao Liu, Q. M. Shao 

Publication date: 2 June 2023

Published in: Bernoulli (Search for Journal in Brave)

Abstract: Let $X_1,dots,X_n$ be independent and identically distributed random vectors in $mathbb{R}^d$. Suppose $mathbbE{X}_1=0$, $mathrmCov(X_1)=I_d$, where $I_d$ is the $dimesd$ identity matrix. Suppose further that there exist positive constants $t_0$ and $c_0$ such that $mathbbE{e}^{t_0|X_1|}leq{c}_0<infty$, where $|cdot|$ denotes the Euclidean norm. Let $W=frac1sqrtnsu{m}_{i=1}^n{X}_i$ and let $Z$ be a $d$-dimensional standard normal random vector. Let $Q$ be a $dimesd$ symmetric positive definite matrix whose largest eigenvalue is 1. We prove that for $0leqxleqvarepsilon{n}^{1/6}$, �egin{equation*} left| frac{mathbb{P}(|Q^{1/2}W|>x)}{mathbb{P}(|Q^{1/2}Z|>x)}-1 ight|leq C left( frac{1+x^5}{det{(Q^{1/2})}n}+frac{x^6}{n} ight) quad ext{for} dgeq 5 end{equation*} and �egin{equation*} left| frac{mathbb{P}(|Q^{1/2}W|>x)}{mathbb{P}(|Q^{1/2}Z|>x)}-1 ight|leq C left( frac{1+x^3}{det{(Q^{1/2})}n^{frac{d}{d+1}}}+frac{x^6}{n} ight) quad ext{for} 1leq dleq 4, end{equation*} where $varepsilon$ and $C$ are positive constants depending only on $d,t_0$, and $c_0$. This is a first extension of Cram'er-type moderate deviation to the multivariate setting with a faster convergence rate than $1/sqrtn$. The range of $x=o(n^{1/6})$ for the relative error to vanish and the dimension requirement $dgeq5$ for the $1/n$ rate are both optimal. We prove our result using a new change of measure, a two-term Edgeworth expansion for the changed measure, and cancellation by symmetry for terms of the order $1/sqrtn$.

Full work available at URL: https://arxiv.org/abs/2111.00679

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zbMATH Keywords

asymptotic expansioncentral limit theoremchange of measuremoderate deviationsquadratic forms

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Characterization and structure theory of statistical distributions (62E10) Elementary theory of partitions (11P81)

Cites Work

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• Uniform rates of convergence in the CLT for quadratic forms in multidimensional spaces
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• Multi-dimensional integral limit theorems for large deviations

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• From \(p\)-Wasserstein bounds to moderate deviations

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