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.

Saved in:
Bibliographic Details
Published inTheory of probability and its applications Vol. 49; no. 4; pp. 704 - 713
Main Author Nagaev, S. V.
Format Journal Article
LanguageEnglish
Published Philadelphia Society for Industrial and Applied Mathematics 01.01.2004
Subjects
Inequality
Random variables
Theorems
Online AccessGet full text

Cover

More Information
Summary: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