Self-normalized Cramér Type Moderate Deviations under Dependence

Xiaohong Chen; Qi-Man Shao; Wei Biao Wu

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arXiv · 1409.3642

Self-normalized Cramér Type Moderate Deviations under Dependence

Xiaohong Chen·Qi-Man Shao·Wei Biao Wu

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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 two types of self-normalization: the big-block-small-block scheme and the interlacing or equal-block 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 high-dimensional time series mean vectors.

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Xiaohong Chen, Qi-Man Shao, Wei Biao Wu. 2014-09-12. Self-normalized Cramér Type Moderate Deviations under Dependence. https://arxiv.org/abs/1409.3642

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