Self-normalized large deviations under sublinear expectation

DOI10.1016/J.SPL.2016.12.005MaRDI QIDQ511552zbMATH OpenOpenAlexFDO

Authors Xinwei Feng

Publication date 21 February 2017

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2016.12.005

zbMATH Keywords

large deviationsself-normalizationsublinear expectation

Mathematics Subject Classification ID

Large deviations (60F10) Sums of independent random variables; random walks (60G50) Strong limit theorems (60F15)

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Cites work

• A strong law of large numbers for non-additive probabilities
• Large deviation for negatively dependent random variables under sublinear expectation
• Large deviations and moderate deviations for independent random variables under sublinear expectations
• Self-Normalized Processes
• Self-normalized large deviations
• Self-normalized laws of the iterated logarithm
• Some extensions of the LIL via self-normalizations
• Strong laws of large numbers for sub-linear expectations
• Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations

Cited in

(8)

• Large deviation principle for random variables under sublinear expectations on \(\mathbb{R}^d\)
• Self-normalized moderate deviation and laws of the iterated logarithm under \(G\)-expectation
• Self-normalized large deviations
• Large deviations and moderate deviations for independent random variables under sublinear expectations
• Sample path large deviations for independent random variables under sub-linear expectations
• An upper bound of large deviations for capacities
• Large deviation for negatively dependent random variables under sublinear expectation
• Moderate deviations principle for independent random variables under sublinear expectations

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