Cram\'er large deviation expansions for martingales under Bernstein's condition
Probability
2014-09-16 v3
Abstract
By using the conjugate distribution technique of Cram\'er, we obtain some expansions of large deviation probabilities for martingales with differences satisfying the conditional Bernstein's condition. The expansions are of the same order as in the classical Cram\'er's large deviation result and are therefore optimal.
Cite
@article{arxiv.1210.2198,
title = {Cram\'er large deviation expansions for martingales under Bernstein's condition},
author = {Xiequan Fan and Ion Grama and Quansheng Liu},
journal= {arXiv preprint arXiv:1210.2198},
year = {2014}
}
Comments
26 pages