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.

引用

页码：1260 / 1285

页数：26

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