A new type of results on probabilities of moderate deviations for i.i.d. random variables

arXiv2207.03545MaRDI QIDQ6404328FDOQ6404328

Publication date: 7 July 2022

Abstract: Let

X, X_{n}; n g e q 1

be a sequence of i.i.d. non-degenerate real-valued random variables with

m a t h b b E X^{2} < i n f t y

. Let

S_{n} = s u m_{i = 1}^{n} X_{i}

,

n g e q 1

. Let

g (c d o t) : [0, i n f t y) i g h t a r r o w [0, i n f t y)

be a nondecreasing regularly varying function with index

h o g e q 0

and

l i m_{t i g h t a r r o w i n f t y} g (t) = i n f t y

. Let

m u = m a t h b b E X

and

s i g m a^{2} = m a t h b b E (X - m u)^{2}

. In this paper, we obtain precise asymptotic estimates for probabilities of moderate deviations by showing that, for all

x > 0

, [ limsup_{n ightarrow infty} frac{log mathbb{P}left(S_{n} - n mu > x sqrt{n g(log n)} ight)}{g(log n)} = - left(frac{x^{2}}{2sigma^{2}} wedge frac{overline{lambda}_{1}}{2^{ ho}} ight), ] [ liminf_{n ightarrow infty} frac{log mathbb{P}left(S_{n} - n mu > x sqrt{n g(log n)} ight)}{g(log n)} = - left(frac{x^{2}}{2sigma^{2}} wedge frac{underline{lambda}_{1}}{2^{ ho}} ight), ] [ limsup_{n ightarrow infty} frac{log mathbb{P}left(S_{n} - n mu < -x sqrt{n g(log n)} ight)}{g(log n)} = - left(frac{x^{2}}{2sigma^{2}} wedge frac{overline{lambda}_{2}}{2^{ ho}} ight), ] and [ liminf_{n ightarrow infty} frac{log mathbb{P}left(S_{n} - n mu < -x sqrt{n g(log n)} ight)}{g(log n)} = - left(frac{x^{2}}{2sigma^{2}} wedge frac{underline{lambda}_{2}}{2^{ ho}} ight), ] where

o v e r l i n e {l a m b d a}_{1}

are

u n d e r l i n e {l a m b d a}_{1}

are determined by the asymptotic behavior of

m a t h b b P (X > t)

and

o v e r l i n e {l a m b d a}_{2}

and

u n d e r l i n e {l a m b d a}_{2}

are determined by the asymptotic behavior of

m a t h b b P (X < - t)

. Unlike those known results in the literature, the moderate deviation results established in this paper depend on both the variance and the asymptotic behavior of the tail distribution of

X

.

Mathematics Subject Classification ID

Large deviations (60F10) Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12)

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