Probabilities of large deviations for martingales

DOI10.1007/BF00970833MaRDI QIDQ756246zbMATH OpenFDO

Authors Alfredas Račkauskas

Publication date 1990

Published in Lithuanian Mathematical Journal (Search for Journal in Brave)

zbMATH Keywords

central limit theoremlarge deviationmartingale difference array

Mathematics Subject Classification ID

Large deviations (60F10) Central limit and other weak theorems (60F05) Martingales with discrete parameter (60G42)

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• Large deviations for martingales with some applications
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Cites work

• scientific article; zbMATH DE number 4011522 (Why is no real title available?)
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 3504209 (Why is no real title available?)
• A nonuniform bound on the rate of convergence in the martingale central limit theorem
• Exact convergence rates in some martingale central limit theorems
• Martingale Central Limit Theorems
• Nonuniform bounds on the rate of convergence in the central limit theorem for martingales
• On the Departure from Normality of a Certain Class of Martingales
• On the rate of convergence in the central limit theorem for martingales with discrete and continuous time

Cited in

(21)

• Speed of convergence of the least-squares estimator in autoregressive models
• scientific article; zbMATH DE number 3868333 (Why is no real title available?)
• Large deviations for martingales via Cramér's method
• Cramér-type moderate deviations for stationary sequences of bounded random variables
• Invariance principles for martingales and sums of independent random variables
• Cramér's moderate deviations for martingales with applications
• scientific article; zbMATH DE number 4159755 (Why is no real title available?)
• scientific article; zbMATH DE number 4098414 (Why is no real title available?)
• A martingale inequality and large deviations.
• Large deviations for martingales.
• Cramér type moderate deviations for self-normalized \(\psi \)-mixing sequences
• Cramér moderate deviation expansion for martingales with one-sided Sakhanenko's condition and its applications
• Self-normalized Cramér type moderate deviations for martingales and applications
• On the law of large numbers for martingales
• A generalization of Cramér large deviations for martingales
• Cramér large deviation expansions for martingales under Bernstein's condition
• Dependent versions of a central limit theorem for the squared length of a sample mean
• An asymptotic expansion for probabilities of moderate deviations for multivariate martingales
• A central limit theorem, and related results, for a two-color randomly reinforced urn
• Large deviations for martingales with some applications
• Large deviations for martingales and derivatives

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