On bounds for moderate deviations for Student's statistic
Teoriâ veroâtnostej i ee primeneniâ, Tome 48 (2003) no. 3, pp. 609-615 Cet article a éte moissonné depuis la source Math-Net.Ru

Voir la notice de l'article

Let $X_1,X_2,\dots$ be independent random variables with zero means and finite variances. In this paper we prove lower bounds for a Cramér-type large deviation theorem for self-normalized sums which imply that the bounds obtained by Jing, Shao, and Wang [Ann. Probab., 31 (2003), pp. 2167–2215] are sharp.
Keywords: Linnik zones, self-normalized sum, $t$-statistic, moderate deviations, nonuniform bounds.
@article{TVP_2003_48_3_a11,
     author = {G. P. Chistyakov and F. G\"otze},
     title = {On bounds for moderate deviations for {Student's} statistic},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {609--615},
     year = {2003},
     volume = {48},
     number = {3},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/TVP_2003_48_3_a11/}
}
TY  - JOUR
AU  - G. P. Chistyakov
AU  - F. Götze
TI  - On bounds for moderate deviations for Student's statistic
JO  - Teoriâ veroâtnostej i ee primeneniâ
PY  - 2003
SP  - 609
EP  - 615
VL  - 48
IS  - 3
UR  - http://geodesic.mathdoc.fr/item/TVP_2003_48_3_a11/
LA  - en
ID  - TVP_2003_48_3_a11
ER  - 
%0 Journal Article
%A G. P. Chistyakov
%A F. Götze
%T On bounds for moderate deviations for Student's statistic
%J Teoriâ veroâtnostej i ee primeneniâ
%D 2003
%P 609-615
%V 48
%N 3
%U http://geodesic.mathdoc.fr/item/TVP_2003_48_3_a11/
%G en
%F TVP_2003_48_3_a11
G. P. Chistyakov; F. Götze. On bounds for moderate deviations for Student's statistic. Teoriâ veroâtnostej i ee primeneniâ, Tome 48 (2003) no. 3, pp. 609-615. http://geodesic.mathdoc.fr/item/TVP_2003_48_3_a11/

[1] Bentkus V., Götze F., “The Berry–Esseen bound for Student's statistic”, Ann. Probab., 24:1 (1996), 491–503 | DOI | MR | Zbl

[2] Bentkus V., Bloznelis M., Götze F., “A Berry–Esseen bound for Student's statistic in the non-i.i.d. case”, J. Theoret. Probab., 9:3 (1996), 765–796 | DOI | MR | Zbl

[3] Chistyakov G. P., Götze F., Moderate deviations for self-normalized sums, Preprint 99-48, Universitat Bielefeld, Bielefeld, 1999 | MR

[4] Chistyakov G. P., Götze F., “Moderate deviations for Student's statistic”, Teoriya veroyatn. i ee primen., 47:3 (2002), 518–532 | MR | Zbl

[5] Csörgő S., Mason D. M., “Approximations of weighted empirical processes with applications to extreme, trimmed and self-normalized sums”, Mathematical Statistics Theory and Applications, Proceeding of the First World Congress of the Bernoulli Society (Tashkent, 1986), v. 2, VNU Sci. Press, Utrecht, 1987, 811–819 | MR

[6] Efron B., “Student's $t$-test under symmetry conditions”, J. Amer. Statist. Assoc., 64 (1969), 1278–1302 | DOI | MR | Zbl

[7] Egorov V. A., “Ob asimptoticheskom povedenii samonormirovannykh summ sluchainykh velichin”, Teoriya veroyatn. i ee primen., 41:3 (1996), 643–650 | MR | Zbl

[8] Feller V., Vvedenie v teoriyu veroyatnostei i ee prilozheniya, v. 1, Mir, M., 1984, 528 pp. | MR

[9] Giné E., Götze F., Mason D., “When is the Student $t$-statistic asymptotically standard normal”, Ann. Probab., 25:3 (1997), 1514–1531 | DOI | MR | Zbl

[10] Griffin P. S., Mason D. M., “On the asymptotic normality of self-normalized sums”, Math. Proc. Cambridge Philos. Soc., 109:3 (1991), 597–610 | DOI | MR | Zbl

[11] Hall P., “On the effect of random norming on the rate of convergence in the central limit theorem”, Ann. Probab., 16:3 (1987), 1265–1280 | DOI | MR

[12] Horáth L., Shao Q. M., “Large deviations and law of the iterated logarithm for partials sums normalized by the largest absolute observation”, Ann. Probab., 24:3 (1996), 1368–1387 | DOI | MR

[13] Ibragimov I. A., Linnik Yu. V., Nezavisimye i statsionarno svyazannye velichiny, Nauka, M., 1965, 524 pp.

[14] Jing B. Yi., Shao Q. M., Wang Q., “Self-normalized Cramér type large deviations for independent random variables”, Ann. Probab., 2003 (to appear) | MR

[15] Linnik Yu. V., “Predelnye teoremy dlya summ nezavisimykh velichin pri uchete bolshikh uklonenii. I”, Teoriya veroyatn. i ee primen., 6:2 (1961), 145–163 | MR

[16] Logan B., Mallows C., Rice S., Shepp L., “Limit distributions of self-normalized sums”, Ann. Probab., 1 (1973), 788–809 | DOI | MR | Zbl

[17] Maller A., “A theorem on products of random variables, with application to regression”, Austral. J. Statist., 23 (1981), 177–185 | DOI | MR | Zbl

[18] Petrov V. V., Summy nezavisimykh sluchainykh velichin, Nauka, M., 1972, 416 pp. | MR

[19] Pinelis I., “Extremal probabilistic problems and Hotelling's $T^2$ test under a symmetric condition”, Ann. Statist., 22:1 (1994), 357–368 | DOI | MR | Zbl

[20] Shao Q.-M., “Self-normalized large deviations”, Ann. Probab., 25:1 (1997), 285–328 | DOI | MR | Zbl

[21] Shao Q.-M., “Recent development in self-normalized limit theorems”, Asymptotic Methods in Probability and Statistics, ed. B. Szyszkowicz et al., Elsevier, Amsterdam, 1998, 467–480 | MR | Zbl

[22] Shao Q.-M., “A Cramér type large deviation result for Student's $t$-statistic”, J. Theoret. Probab., 12:2 (1999), 385–398 | DOI | MR | Zbl

[23] Sharakhmetov Sh., “Neravenstvo Berri–Esseena dlya statistiki Styudenta”, Uzb. matem. zhurn., 1995, no. 2, 101–112 | MR

[24] Slavova V. V., “On the Berry–Esseen bound for Student's statistic”, Lecture Notes in Math., 1155, 1985, 355–390 | MR | Zbl

[25] Wang Q., Jing B. Y., “An exponential nonuniform Berry–Esseen bound for selfnormalized sums”, Ann. Probab., 27:4 (1999), 2068–2088 | DOI | MR | Zbl