| 题名 | Cramér's moderate deviations for martingales with applications |
| 作者 | |
| 通讯作者 | Fan, Xiequan |
| 发表日期 | 2024-08-01
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| DOI | |
| 发表期刊 | |
| ISSN | 0246-0203
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| 卷号 | 60期号:3 |
| 摘要 | Let (xi i,Fi)i >= 1 i , F i ) i >= 1 be a sequence of martingale differences. Set X n = ni =1 xi i and X n = n i =1 E (xi i 2 |F i -1 ) . We prove Cramer's moderate deviation expansions for P (X n / root X n >= x) and P (X n / E X n 2 >= x) as n ->infinity . Our results extend the classical Cramer result to the cases of normalized martingales Xn/root Xn n / root X n and standardized martingales Xn/ n / E X n 2 , with martingale differences satisfying the conditional Bernstein condition. Applications to elephant random walks and autoregressive processes are also discussed. |
| 关键词 | |
| 相关链接 | [来源记录] |
| 收录类别 | |
| 语种 | 英语
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| 学校署名 | 其他
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| WOS研究方向 | Mathematics
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| WOS类目 | Statistics & Probability
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| WOS记录号 | WOS:001286372300016
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| 出版者 | |
| ESI学科分类 | MATHEMATICS
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| 来源库 | Web of Science
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| 引用统计 |
被引频次[WOS]：3
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| 成果类型 | 期刊论文 |
| 条目标识符 | http://sustech.caswiz.com/handle/2SGJ60CL/804712 |
| 专题 | 理学院_统计与数据科学系 |
| 作者单位 | 1.Northeastern Univ Qinhuangdao, Sch Math & Stat, Qinhuangdao 066004, Hebei, Peoples R China 2.Tianjin Univ, Ctr Appl Math, Tianjin 300072, Peoples R China 3.Southern Univ Sci & Technol, Natl Ctr Appl Math Shenzhen, Dept Stat & Data Sci, SICM, Shenzhen 518000, Guangdong, Peoples R China |
| 推荐引用方式 GB/T 7714 |
Fan, Xiequan,Shao, Qi-Man. Cramér's moderate deviations for martingales with applications[J]. ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES,2024,60(3).
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| APA |
Fan, Xiequan,&Shao, Qi-Man.(2024).Cramér's moderate deviations for martingales with applications.ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES,60(3).
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| MLA |
Fan, Xiequan,et al."Cramér's moderate deviations for martingales with applications".ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES 60.3(2024).
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| 条目包含的文件 | 条目无相关文件。 | |||||
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