Convergence Rates for Probabilities of Moderate Deviations for Multidimensionally Indexed Random Variables

Abstract EN

Let {X,Xn¯;n¯∈Z+d} be a sequence of i.i.d.

real-valued random variables, and Sn¯=∑k¯≤n¯Xk¯, n¯∈Z+d.

Convergence rates of moderate deviations are derived; that is, the rates of convergence to zero of certain tail probabilities of the partial sums are determined.

For example, we obtain equivalent conditions for the convergence of the series ∑n¯b(n¯)ψ2(a(n¯))P{|Sn¯|≥a(n¯)ϕ(a(n¯))}, where a(n¯)=n11/α1⋯nd1/αd, b(n¯)=n1β1⋯ndβd, ϕ and ψ are taken from a broad class of functions.

These results generalize and improve some results of Li et al.

(1992) and some previous work of Gut (1980).