On Large Deviations of a Self-normalized Sum

On Large Deviations of a Self-normalized Sum

In the present paper we deduce exponential bounds on the probabilities of large deviations of a self-normalized sum of independent random variables. Summands are not assumed to be identically distributed.

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Veröffentlicht in:Theory of probability and its applications 2004-01, Vol.49 (4), p.704-713
1. Verfasser: Nagaev, S. V.
Format: Artikel
Sprache:eng
Schlagworte:
Inequality
Random variables
Theorems
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Beschreibung
Zusammenfassung:In the present paper we deduce exponential bounds on the probabilities of large deviations of a self-normalized sum of independent random variables. Summands are not assumed to be identically distributed.
ISSN:0040-585X
1095-7219
DOI:10.1137/S0040585X97981391