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Cram\'er large deviation expansions for martingales under Bernstein's condition
- Source :
- Stochastic Process. Appl. 123 (2013) 3919-3942
- Publication Year :
- 2012
-
Abstract
- By using the conjugate distribution technique of Cram\'er, we obtain some expansions of large deviation probabilities for martingales with differences satisfying the conditional Bernstein's condition. The expansions are of the same order as in the classical Cram\'er's large deviation result and are therefore optimal.<br />Comment: 26 pages
- Subjects :
- Mathematics - Probability
Primary 60G42, 60F10, 60E15, Secondary 60F05
Subjects
Details
- Database :
- arXiv
- Journal :
- Stochastic Process. Appl. 123 (2013) 3919-3942
- Publication Type :
- Report
- Accession number :
- edsarx.1210.2198
- Document Type :
- Working Paper
- Full Text :
- https://doi.org/10.1016/j.spa.2013.06.010