Self-normalized Cramer type moderate deviations for martingales

Let $(ξ_i,\mathcal{F}_i)_{i\geq1}$ be a sequence of martingale differences. Set $S_n=\sum_{i=1}^nξ_i$ and $[ S]_n=\sum_{i=1}^n ξ_i^2.$ We prove a Cramér type moderate deviation expansion for $\mathbf{P}(S_n/\sqrt{[ S]_n} \geq x)$ as $n\to+\infty.$ Our results partly extend the earlier work of [Jing, Shao and Wang, 2003] for independent random variables.

No reviews yet.

No comments yet.