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Ӧ�ø���ͳ�� 2006, 22(4) 358-362 DOI:
ISSN: 1001-4268 CN: 31-1256 |
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A Note on the Self-Normalized Large Deviation |
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SHAO Qiman |
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Department of Mathematics, Hong Kong University of Science and Technology;Department of Mathematics, University of Oregon;Department of Mathematics, Zhejiang University, |
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Abstract:
Let $X_1,X_2,\cdots$ be a sequence of i.i.d. random variables. Shao (1997) established a self-normalized large deviation without any moment assumption. However, the proof of the upper bound was quite complicated. In this note we give a much simpler proof. |
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Keywords:
Self-normalized partial sums
large deviation
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