Limit theorems for self-normalized large deviation

被引：21
|
作者：
Wang, QY [1 ]
机构：
[1] Univ Sydney, Sch Math & Stat, Sydney, NSW 2006, Australia
来源：
ELECTRONIC JOURNAL OF PROBABILITY | 2005年 / 10卷
关键词：
Cramer large deviation; limit theorem; self-normalized sum;
D O I：
10.1214/EJP.v10-289
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：
Let X, X-1, X-2,... be i.i.d. random variables with zero mean and fnite variance (sigma(2). It is well known that a fnite exponential moment assumption is necessary to study limit theorems for large deviation for the standardized partial sums. In this paper, limit theorems for large deviation for self-normalized sums are derived only under fnite moment conditions. In particular, we show that, if EX4 < infinity.
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页码：1260 / 1285
页数：26
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