Details

Autor(en) / Beteiligte

• Chen, Xiaohong
• Shao, Qi-Man
• Wu, Wei Biao
• Xu, Lihu

Titel

SELF-NORMALIZED CRAMÉR-TYPE MODERATE DEVIATIONS UNDER DEPENDENCE

Ist Teil von

• The Annals of statistics, 2016-08, Vol.44 (4), p.1593-1617

Ort / Verlag

Hayward: Institute of Mathematical Statistics

Erscheinungsjahr

2016

Link zum Volltext

Quelle

Alma/SFX Local Collection

Beschreibungen/Notizen

• We establish a Cramér-type moderate deviation result for self-normalized sums of weakly dependent random variables, where the moment requirement is much weaker than the non-self-normalized counterpart. The range of the moderate deviation is shown to depend on the moment condition and the degree of dependence of the underlying processes. We consider three types of self-normalization: the equal-block scheme, the big-block-smallblock scheme and the interlacing scheme. Simulation study shows that the latter can have a better finite-sample performance. Our result is applied to multiple testing and construction of simultaneous confidence intervals for ultra-high dimensional time series mean vectors.