Self-normalized Cramér type moderate deviations for the maximum of sums

Abstract

Let $X_1,X_2,...$ be independent random variables with zero means and finite variances, and let $S_n=\sum_{i=1}^nX_i$ and $V^2_n=\sum_{i=1}^nX^2_i$. A Cramér type moderate deviation for the maximum of the self-normalized sums $\max_{1\leq k\leq n}S_k/V_n$ is obtained. In particular, for identically distributed $X_1,X_2,...,$ it is proved that $P(\max_{1\leq k\leq n}S_k\geq xV_n)/(1-Φ(x))\rightarrow2$ uniformly for $0<x\leq\mathrm{o}(n^{1/6})$ under the optimal finite third moment of $X_1$.