Self-Normalized Processes

Released on by Victor H. Peña
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  • Self-Normalized Processes Book Detail

  • Author : Victor H. Peña
  • Release Date : 2008-12-25
  • Publisher : Springer Science & Business Media
  • Genre : Mathematics
  • Pages : 273
  • ISBN 13 : 3540856366
  • File Size : 17,17 MB
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Self-Normalized Processes by Victor H. Peña PDF Summary

Book Description: 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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