Self-normalized large deviations in vector spaces

MaRDI QIDQ4387135zbMATH OpenFDO

Authors Amir Dembo, Q. M. Shao

Publication date 20 December 1998

zbMATH Keywords

Borel \(\sigma\)-fieldcompact level setsconvex functionheavy-tailed distributionlarge deviation principlepartial large deviation principleseparable Banach space

Mathematics Subject Classification ID

Large deviations (60F10)

Review text

The paper presents (partial, full) large deviation principles for self-normalized sums of i.i.d. r.v.'s. The r.v.'s are assumed with values in a separable Banach space and the rate function is lower semi-continuous, only. The presented results do not require Cramér's condition. Therefore, the results cover the case of heavy-tailed distribution laws. For the entire collection see [Zbl 0883.00024].

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Cited in

(12)

• The moderate deviation principle for self-normalized sums of sums of i.i.d. random variables
• Theory and applications of multivariate self-normalized processes
• Self-normalized large deviations
• Self-normalized large deviations for Markov chains
• Concentration inequalities, large and moderate deviations for self-normalized empirical processes
• Saddlepoint approximation for Student's \(t\)-statistic with no moment conditions
• Precise asymptotics in complete moment convergence for self-normalized sums
• Self-normalized large deviations for Markov chains
• A conditional limit theorem for high-dimensional ^p-spheres
• Self-normalized large deviations under sublinear expectation
• Large deviations for quasi-arithmetically self-normalized random variables
• Precise asymptotics in the deviation probability series of self-normalized sums

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