Self-normalized Cramer type moderate deviations for martingales (1712.04756v2)

Abstract: Let $(\xi_i,\mathcal{F}i){i\geq1}$ be a sequence of martingale differences. Set $S_n=\sum_{i=1}^n\xi_i $ and $[ S]n=\sum{i=1}^n \xi_i^2.$ We prove a Cram\'er type moderate deviation expansion for $\mathbf{P}(S_n/\sqrt{[ S]_n} \geq x)$ as $n\to+\infty.$ Our results partly extend the earlier work of [Jing, Shao and Wang, 2003] for independent random variables.