Cram'er Type Moderate deviations for the Maximum of Self-normalized Sums

Zhishui Hu (USTC)
Qi-Man Shao (HKUST)
Qiying Wang (University of Sydney)

Abstract


Let $\{ X, X_i , i \geq 1\}$ be i.i.d. random variables, $S_k$ be the partial sum and $V_n^2 = \sum_{1\leq i\leq n} X_i^2$. Assume that $E(X)=0$ and $E(X^4) < \infty$. In this paper we discuss the moderate deviations of the maximum of the self-normalized sums. In particular, we prove that $P(\max_{1 \leq k \leq n} S_k \geq x V_n) / (1- \Phi(x)) \to 2$ uniformly in $x \in [0, o(n^{1/6}))$.

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Pages: 1181-1197

Publication Date: May 31, 2009

DOI: 10.1214/EJP.v14-663

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