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On large deviation theorem for data-driven Neyman's statistic

The aim of the paper is to show that for data-driven Neyman's statistic large deviation theorem does not hold. We derive an explicit estimate from below for probabilities of large and moderate deviations. The main tool is a version of a lower exponential inequality recently obtained by Mogulskii.
Year of publication:
2000
Authors: Inglot, Tadeusz
Published in:
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 47.2000, 4, p. 411-419
Publisher: Elsevier
Keywords: Moderate deviation theorem Data-driven Neyman's statistic Exponential inequality
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10005053184
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