Self-normalized moderate deviations and lils

DOI10.1016/S0304-4149(98)00007-6MaRDI QIDQ1805758zbMATH OpenOpenAlexFDO

Authors Amir Dembo, Q. M. Shao

Publication date 18 November 1999

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0304-4149(98)00007-6

zbMATH Keywords

large deviationslaw of iterated logarithmmoderate deviationsmoment generating functionpartial large deviation principle

Mathematics Subject Classification ID

Large deviations (60F10) Strong limit theorems (60F15)

Review text

Let \(\{X_n\}\) be a sequence of i.i.d. \(\mathbb R^d\)-valued zero mean random variables either in the domain of attraction of a Gaussian law or in the domain of attraction of a stable law. A partial large deviation principle (PLDP) of speed \(a_n = o(n) \) is established for random vectors \(( T_n, U_{n,p})\) defined for \(p > 1\) by \[ T_n = a_n^{-1} z_n^{-1} \sum_{i=1}^n X_i, \quad U_{n,p} = a_n^{-1} z_n^{-1} \sum_{i=1}^n \|X_i \|^p \] where \( z_n \to \infty \) and \(\|\cdot \|\) denotes a norm on \(\mathbb R^d\). The proofs are based on an asymptotic expansion of moment generating function. As an application of the PLDP, law of iterated logarithm type-results are developed, which are of independent interest.

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Cited in

(2)

• The moderate deviation principle for self-normalized sums of sums of i.i.d. random variables
• Self-normalization: taming a wild population in a heavy-tailed world

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