Self-normalized large deviations under sublinear expectation

Xinwei Feng

Statistics & Probability Letters, 2017, vol. 123, issue C, 77-83

Abstract: In this paper, we investigate large deviations for self-normalized sums of random variables under sublinear expectation. We establish the upper bound and lower bound for negatively dependent random variables. Moreover, the exact asymptotic upper probability of the self-normalized sums is obtained for independent identically distributed random variables.

Keywords: Sublinear expectation; Self-normalization; Large deviations (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1016/j.spl.2016.12.005

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