davis-type theorems for martingale difference sequences鞅差序列davis-type定理.pdfVIP

DAVIS-TYPE THEOREMS FOR MARTINGALE DIFFERENCE SEQUENCES GEORGE STOICA Received 25 February 2004 and in revised form 10 August 2004 We study Davis-type theorems on the optimal rate of convergence of moderate deviation probabilities. In the case of martingale difference sequences, under the finite p th mo- ments hypothesis (1 ≤ p ∞), and depending on the normalization factor, our results show that Davis’ theorems either hold if and only if p 2 or fail for all p ≥ 1. This is in sharp contrast with the classical case of i.i.d. centered sequences, where both Davis’ theorems hold under t