Refined Cramer Type Moderate Deviation Theorems for General Self-normalized Sums with Applications to Dependent Random Variables and Winsorized Mean


الملخص بالإنكليزية

Let {(X_i,Y_i)}_{i=1}^n be a sequence of independent bivariate random vectors. In this paper, we establish a refined Cramer type moderate deviation theorem for the general self-normalized sum sum_{i=1}^n X_i/(sum_{i=1}^n Y_i^2)^{1/2}, which unifies and extends the classical Cramer (1938) theorem and the self-normalized Cramer type moderate deviation theorems by Jing, Shao and Wang (2003) as well as the further refined version by Wang (2011). The advantage of our result is evidenced through successful applications to weakly dependent random variables and self-normalized winsorized mean. Specifically, by applying our new framework on general self-normalized sum, we significantly improve Cramer type moderate deviation theorems for one-dependent random variables, geometrically beta-mixing random variables and causal processes under geometrical moment contraction. As an additional application, we also derive the Cramer type moderate deviation theorems for self-normalized winsorized mean.

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