Self-Normalized Processes

DOI10.1007/978-3-540-85636-8MaRDI QIDQ3528116zbMATH OpenOpenAlexFDO

Authors Victor H. de la Peña, Tze Leung Lai, Q. M. Shao

Publication date 6 October 2008

Published in Probability and its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-540-85636-8

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Asymptotic inference for nearly nonstationary AR(1) processes with possibly infinite variance
Theory and applications of multivariate self-normalized processes
Moderate deviations and nonparametric inference for monotone functions
Self-normalization: taming a wild population in a heavy-tailed world
Mean width of regular polytopes and expected maxima of correlated Gaussian variables
The self-normalized Donsker theorem revisited
Almost sure central limit theorem for self-normalized partial sums of \(\rho^{-}\)-mixing sequences
Gaussian approximation for high dimensional vector under physical dependence
Berry-Esseen bounds for self-normalized martingales
Relation between the rate of convergence of strong law of large numbers and the rate of concentration of Bayesian prior in game-theoretic probability
Invariance principles for adaptive self-normalized partial sums processes.
A strong approximation of self-normalized sums
Process convergence of self-normalized sums of i.i.d. random variables coming from domain of attraction of stable distributions
Quantile coupling inequalities and their applications
A Cramér moderate deviation theorem for Hotelling's \(T^{2}\)-statistic with applications to global tests
On necessary and sufficient conditions for the self-normalized central limit theorem
Time-uniform, nonparametric, nonasymptotic confidence sequences
Inference for high-dimensional varying-coefficient quantile regression
Robust and efficient mean estimation: an approach based on the properties of self-normalized sums
Matrices -- compensating the loss of anschauung
High-dimensional linear models with many endogenous variables
Refined Cramér-type moderate deviation theorems for general self-normalized sums with applications to dependent random variables and winsorized mean
Tail bounds for empirically standardized sums
Bandit and covariate processes, with finite or non-denumerable set of arms
A note on the cluster set of the law of the iterated logarithm under sub-linear expectations
Self-normalized Cramér type moderate deviations for stationary sequences and applications
Time-uniform Chernoff bounds via nonnegative supermartingales
Cramér's type results for some bootstrapped \(U\)-statistics
Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff
Self-normalized moderate deviations for random walk in random scenery
Pivotal estimation via square-root lasso in nonparametric regression
A nonclassical law of the iterated logarithm for self-normalized partial sums
Exponential inequalities for self-normalized martingales
Rationalizable strategies in random games
Self-normalized Cramér type moderate deviations for martingales
Lasso and probabilistic inequalities for multivariate point processes
Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data
Asymptotic properties of estimators in a stable Cox-Ingersoll-Ross model
Gaussian approximations and multiplier bootstrap for maxima of sums of high-dimensional random vectors
Asymptotics for functionals of self-normalized residuals of discretely observed stochastic processes
Self-normalized limit theorems for linear processes generated by -mixing innovations
A self-normalized law of the iterated logarithm for the geometrically weighted random series
An extension of almost sure central limit theorem for self-normalized products of sums for mixing sequences
Malliavin calculus and self normalized sums
Invariance principles for products of U-statistics without variance
Asymptotic properties of self-normalized linear processes with long memory
A self-normalized central limit theorem for Markov random walks
Almost sure central limit theorem for self-normalized products of partial sums of negatively associated sequences
Stein's method, self-normalized limit theory and applications
Self-normalized Cramér-type moderate deviations under dependence
Parametric inference in stationary time series models with dependent errors
The convergence rate and asymptotic distribution of the bootstrap quantile variance estimator for importance sampling
Strassen-type law of the iterated logarithm for self-normalized sums
Small-time compactness and convergence behavior of deterministically and self-normalised Lévy processes
Self-normalized Cramér type moderate deviations for the maximum of sums
Non-stationary quasi-likelihood and asymptotic optimality
Deviation inequalities and moderate deviations for estimators of parameters in bifurcating autoregressive models
Strassen-type law of the iterated logarithm for self-normalized increments of sums
Profile-based bandit with unknown profiles
A self-normalized central limit theorem for a \(\rho\)-mixing stationary sequence
Further refinement of self-normalized Cramér-type moderate deviations
High-dimensional limit theorems for random vectors in \(\ell_p^n\)-balls
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A note on the normal approximation error for randomly weighted self-normalized sums
Time series regression on integrated continuous-time processes with heavy and light tails
Hybrid generalized empirical likelihood estimators: instrument selection with adaptive lasso
Robust inference on average treatment effects with possibly more covariates than observations
Almost sure central limit theorem for self-normalized partial sums of negatively associated random variables
Finite-sample results for lasso and stepwise Neyman-orthogonal Poisson estimators
Limit properties for ratios of order statistics from exponentials
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Almost sure convergence for self-normalized products of sums of partial sums of ^--mixing sequences
Ratio detections for change point in heavy tailed observations
Further research on limit theorems for self-normalized sums
Self-normalized large deviations under sublinear expectation
Monitoring multivariate time series
Optimal Berry-Esseen bound for statistical estimations and its application to SPDE
Precise asymptotics on the Birkhoff sums for dynamical systems
Martingale Estimating Functions for Stochastic Processes: A Review Toward a Unifying Tool
Non-ergodic martingale estimating functions and related asymptotics
Mean square convergence rates for maximum quasi-likelihood estimators
Weak convergence of self-normalized partial sums processes
Self-normalized limit theorems in probability and statistics
Laws of the iterated logarithm for self-normalised Lévy processes at zero
Estimation of Sparse Structural Parameters with Many Endogenous Variables
A functional limit theorem for self-normalized linear processes with random coefficients and i.i.d. heavy-tailed innovations
Dummy endogenous treatment effect estimation using high‐dimensional instrumental variables
Encounters with Martingales in Statistics and Stochastic Optimization
Self-normalized Cramér moderate deviations for a supercritical Galton–Watson process
Estimation and inference of treatment effects with L₂-boosting in high-dimensional settings
Central limit theorem and near classical Berry-Esseen rate for self normalized sums in high dimensions
A dynamic screening algorithm for hierarchical binary marketing data
An alternative to synthetic control for models with many covariates under sparsity
An almost sure central limit theorem for self-normalized partial sums
Nonparametric regression with martingale increment errors
A sequential Monte Carlo approach to computing tail probabilities in stochastic models
Nonuniform Berry-Esseen bounds for studentized U-statistics
Nonparametric Additive Instrumental Variable Estimator: A Group Shrinkage Estimation Perspective
Self-normalized Cramér type moderate deviations for martingales and applications
Another look at Stein's method for studentized nonlinear statistics with an application to U-statistics

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