Journal of Applied Mathematics and Stochastic Analysis 
Volume 2005 (2005), Issue 2, Pages 159-165
doi:10.1155/JAMSA.2005.159

Davis-type theorems for martingale difference sequences

George Stoica

Department of Mathematical Sciences, University of New Brunswick, P.O. Box 5050, NB, Saint John E2L 4L5, Canada

Received 25 February 2004; Revised 10 August 2004

Abstract

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 pth moments hypothesis (1p<), and depending on the normalization factor, our results show that Davis' theorems either hold if and only if p>2 or fail for all p1. This is in sharp contrast with the classical case of i.i.d. centered sequences, where both Davis' theorems hold under the finite second moment hypothesis (or less).