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Cram\'er large deviation expansions for martingales under Bernstein's condition

Authors :
Fan, Xiequan
Grama, Ion
Liu, Quansheng
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

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