Series of moderate deviation probabilities for martingales |
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| Authors: | George Stoica |
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| Affiliation: | Department of Mathematical Sciences, University of New Brunswick, PO Box 5050, Saint John NB, E2L 4L5, Canada |
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| Abstract: | ![]()
We study Davis-type theorems on the moderate deviation probabilities of martingale differences with finite pth moments (1?p<∞). We prove that Davis' first result holds if p>4 and fails if 1?p<4, and Davis' second result holds if p>2 and fails if 1?p<2. |
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| Keywords: | Martingale difference Davis' theorems Moderate deviations |
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