Self-Normalized Processes

Self-Normalized Processes
Author :
Publisher : Springer Science & Business Media
Total Pages : 273
Release :
ISBN-10 : 9783540856368
ISBN-13 : 3540856366
Rating : 4/5 (68 Downloads)

Book Synopsis Self-Normalized Processes by : Victor H. Peña

Download or read book Self-Normalized Processes written by Victor H. Peña and published by Springer Science & Business Media. This book was released on 2008-12-25 with total page 273 pages. Available in PDF, EPUB and Kindle. Book excerpt: Self-normalized processes are of common occurrence in probabilistic and statistical studies. A prototypical example is Student's t-statistic introduced in 1908 by Gosset, whose portrait is on the front cover. Due to the highly non-linear nature of these processes, the theory experienced a long period of slow development. In recent years there have been a number of important advances in the theory and applications of self-normalized processes. Some of these developments are closely linked to the study of central limit theorems, which imply that self-normalized processes are approximate pivots for statistical inference. The present volume covers recent developments in the area, including self-normalized large and moderate deviations, and laws of the iterated logarithms for self-normalized martingales. This is the first book that systematically treats the theory and applications of self-normalization.


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Self-normalized processes are of common occurrence in probabilistic and statistical studies. A prototypical example is Student's t-statistic introduced in 1908