Cramér type moderate deviation theorems for self-normalized processes

DOI10.3150/15-BEJ719zbMATH Open1350.60025arXiv1405.1218OpenAlexW1813834019MaRDI QIDQ726728FDOQ726728

Authors: Wen-Xin Zhou, Q. M. Shao 

Publication date: 14 July 2016

Published in: Bernoulli (Search for Journal in Brave)

Abstract: Cram'er type moderate deviation theorems quantify the accuracy of the relative error of the normal approximation and provide theoretical justifications for many commonly used methods in statistics. In this paper, we develop a new randomized concentration inequality and establish a Cram'er type moderate deviation theorem for general self-normalized processes which include many well-known Studentized nonlinear statistics. In particular, a sharp moderate deviation theorem under optimal moment conditions is established for Studentized $U$-statistics.

Full work available at URL: https://arxiv.org/abs/1405.1218

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zbMATH Keywords

normal approximation\(U\)-statisticsmoderate deviationsstudentized statisticsnonlinear statisticsrelative errorsself-normalized processes

Mathematics Subject Classification ID

Large deviations (60F10) Inequalities; stochastic orderings (60E15) Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50)

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Cited In (33)

• A refined randomized concentration inequality
• Cramér-type moderate deviations under local dependence
• Central limit theorem and self-normalized Cramér-type moderate deviation for Euler-Maruyama scheme
• Further refinement of self-normalized Cramér-type moderate deviations
• Nonuniform Berry-Esseen bounds for studentized U-statistics
• Cramér type moderate deviations for Studentized \(U\)-statistics
• High-dimensional consistent independence testing with maxima of rank correlations
• Normalized and self-normalized Cramér-type moderate deviations for the Euler-Maruyama scheme for the SDE
• Berry-Esseen bounds for multivariate nonlinear statistics with applications to M-estimators and stochastic gradient descent algorithms
• Cramér-type moderate deviations for statistics in the non-stationary Ornstein–Uhlenbeck process
• Self-Normalized Processes
• Self-normalization: taming a wild population in a heavy-tailed world
• Pseudo-maximization and self-normalized processes
• Berry-Esseen bounds for self-normalized sums of locally dependent random variables
• Another look at Stein's method for studentized nonlinear statistics with an application to U-statistics
• Self-normalized Cramér type moderate deviations for martingales and applications
• Cramér type moderate deviations for the Grenander estimator near the boundaries of the support
• Moderate Deviations for Student's Statistic
• Self-normalized Cramér-type large deviations for independent random variables.
• 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
• Self-normalized Cramér type moderate deviations for martingales
• Self-normalized Cramér-type moderate deviations under dependence
• Deviation inequalities and Cramér-type moderate deviations for the explosive autoregressive process
• Cramér's type results for some bootstrapped \(U\)-statistics
• Tail bounds for empirically standardized sums
• Cramér type moderate deviations for random fields
• Berry-Esseen bounds for generalized \(U\)-statistics
• Cramér-type moderate deviations for Studentized two-sample \(U\)-statistics with applications
• Cram'er type moderate deviations for the maximum of self-normalized sums
• Cramér-type moderate deviations for the log-likelihood ratio of inhomogeneous Ornstein-Uhlenbeck processes
• Cramér-type moderate deviation theorems for nonnormal approximation
• Cramér-type large deviations for samples from a finite population

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