MODERATE DEVIATIONS FOR MARTINGALES WITH BOUNDED JUMPS

被引：35
|
作者：
Dembo, A. [1 ]
机构：
[1] Technion Israel Inst Technol, Dept Elect Engn, IL-32000 Haifa, Israel
来源：
ELECTRONIC COMMUNICATIONS IN PROBABILITY | 1996年 / 1卷
关键词：
Moderate deviations; martingales; bounded martingale differences;
D O I：
10.1214/ECP.v1-973
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We prove that the Moderate Deviation Principle (MDP) holds for the trajectory of a locally square integrable martingale with bounded jumps as soon as its quadratic covariation, properly scaled, converges in probability at an exponential rate. A consequence of this MDP is the tightness of the method of bounded martingale differences in the regime of moderate deviations.
引用
收藏
页码：11 / 17
页数：7
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