Residential College | false |
Status | 已發表Published |
Self-normalized cramér-type moderate deviations under dependence | |
Chen,Xiaohong1; Shao,Qi Man2; Wu,Wei Biao3; Xu,Lihu4 | |
2016-12-09 | |
Source Publication | ANNALS OF STATISTICS |
ABS Journal Level | 4* |
ISSN | 0090-5364 |
Volume | 44Issue:4Pages:1593-1617 |
Abstract | 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. |
Keyword | Absolutely Regular Cramér-type Moderate Deviation Functional Dependence Measures Ultra-high Dimensional Time Series |
DOI | 10.1214/15-AOS1429 |
URL | View the original |
Indexed By | SCIE |
Language | 英語English |
WOS Research Area | Mathematics |
WOS Subject | Statistics & Probability |
WOS ID | WOS:000379972900008 |
Scopus ID | 2-s2.0-84978269122 |
Fulltext Access | |
Citation statistics | |
Document Type | Journal article |
Collection | University of Macau |
Affiliation | 1.Department of EconomicsYale University,New Haven,06520,United States 2.Department of StatisticsChinese University of Hong Kong,Shatin, N.T.,Hong Kong 3.Department of StatisticsUniversity of Chicago,Chicago,60637,United States 4.Faculty of Science and TechnologyUniversity of Macau,Taipa,Macao |
Recommended Citation GB/T 7714 | Chen,Xiaohong,Shao,Qi Man,Wu,Wei Biao,et al. Self-normalized cramér-type moderate deviations under dependence[J]. ANNALS OF STATISTICS, 2016, 44(4), 1593-1617. |
APA | Chen,Xiaohong., Shao,Qi Man., Wu,Wei Biao., & Xu,Lihu (2016). Self-normalized cramér-type moderate deviations under dependence. ANNALS OF STATISTICS, 44(4), 1593-1617. |
MLA | Chen,Xiaohong,et al."Self-normalized cramér-type moderate deviations under dependence".ANNALS OF STATISTICS 44.4(2016):1593-1617. |
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