SELF-NORMALIZED CRAMER-TYPE MODERATE DEVIATIONS UNDER DEPENDENCE

• 成果类型: Article
• 署名作者: Chen, Xiaohong; Shao, Qi-Man; Wu, Wei Biao; Xu, Lihu
• 署名单位: Yale University; Chinese University of Hong Kong; University of Chicago; University of Macau
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/15-AOS1429
• 发表日期: 2016
• 页码: 1593-1617
• 关键词: high-dimensional data; LIMIT-THEOREMS; students-t; time-series; CONVERGENCE; GARCH; likelihood; maximum

摘要

We establish a Cramer-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-small-block 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.