Cramér type moderate deviation for random walks conditioned to stay positive

Mingyang Sun

Statistics & Probability Letters, 2025, vol. 216, issue C

Abstract: We establish a Cramér type moderate deviation for random walks conditioned to stay positive, which gives the relative error for the central limit theorem proved by Iglehart (1974). Unlike the traditional technique of conjugate distributions, our approach is based on the strong approximation between random walks and Brownian motion in the same vein as Grama and Xiao (2021).

Keywords: Random walks; Cramér moderate deviation; Strong approximation (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1016/j.spl.2024.110258

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