Self-normalized Cramer-type Moderate Deviations for Functionals of Markov Chain  

作　　者：Xin-wei FENG Qi-Man SHAO 

机构地区：[1]Zhongtai Securities Institute for Financial Studies,Shandong University,Jinan 250100,China [2]Department of Statistics,The Chinese University of Hong Kong,Shatin,N.T.,Hong Kong,China [3]Department of Statistics and Data Science,Southern University of Science and Technology,Shenzhen 518000,China

出　　处：《Acta Mathematicae Applicatae Sinica》2020年第2期294-313,共20页应用数学学报（英文版）

基　　金：partially supported by Hong Kong Research Grants Council General Research Fund 14304917.Corresponding author.

摘　　要：Let{xn,n≥0}be a Markov chain with a countable state space S and let f(·)be a measurable function from S to R and consider the functionals of the Markov chain yn:=f(xn).We construct a new type of self-normalized sums based on the random-block scheme and establish a Crame′r-type moderate deviations for self-normalized sums of functionals of the Markov chain.

关 键 词：SELF-NORMALIZED partial SUMS Cramer-type moderate deviations Markov Chain ERGODIC 

分 类 号：O211.62[理学—概率论与数理统计]