Self-normalized Cramer type moderate deviations for stationary sequences and applications


الملخص بالإنكليزية

Let $(X _i)_{igeq1}$ be a stationary sequence. Denote $m=lfloor n^alpha rfloor, 0< alpha < 1,$ and $ k=lfloor n/m rfloor,$ where $lfloor a rfloor$ stands for the integer part of $a.$ Set $S_{j}^circ = sum_{i=1}^m X_{m(j-1)+i}, 1leq j leq k,$ and $ (V_k^circ)^2 = sum_{j=1}^k (S_{j}^circ)^2.$ We prove a Cramer type moderate deviation expansion for $mathbb{P}( sum_{j=1}^k S_{j}^circ /V_k^circ geq x)$ as $nto infty.$ Applications to mixing type sequences, contracting Markov chains, expanding maps and confidence intervals are discussed.

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