English

Self-normalized Cram\'{e}r type moderate deviations for the maximum of sums

Statistics Theory 2013-07-24 v1 Statistics Theory

Abstract

Let X1,X2,...X_1,X_2,... be independent random variables with zero means and finite variances, and let Sn=i=1nXiS_n=\sum_{i=1}^nX_i and Vn2=i=1nXi2V^2_n=\sum_{i=1}^nX^2_i. A Cram\'{e}r type moderate deviation for the maximum of the self-normalized sums max1knSk/Vn\max_{1\leq k\leq n}S_k/V_n is obtained. In particular, for identically distributed X1,X2,...,X_1,X_2,..., it is proved that P(max1knSkxVn)/(1Φ(x))2P(\max_{1\leq k\leq n}S_k\geq xV_n)/(1-\Phi (x))\rightarrow2 uniformly for 0<xo(n1/6)0<x\leq\mathrm{o}(n^{1/6}) under the optimal finite third moment of X1X_1.

Keywords

Cite

@article{arxiv.1307.6044,
  title  = {Self-normalized Cram\'{e}r type moderate deviations for the maximum of sums},
  author = {Weidong Liu and Qi-Man Shao and Qiying Wang},
  journal= {arXiv preprint arXiv:1307.6044},
  year   = {2013}
}

Comments

Published in at http://dx.doi.org/10.3150/12-BEJ415 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)

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