Mathematics – Probability
Scientific paper
2007-09-14
Probability Surveys 2007, Vol. 4, 172-192
Mathematics
Probability
Published in at http://dx.doi.org/10.1214/07-PS119 the Probability Surveys (http://www.i-journals.org/ps/) by the Institute of
Scientific paper
10.1214/07-PS119
Self-normalized processes are basic to many probabilistic and statistical studies. They arise naturally in the the study of stochastic integrals, martingale inequalities and limit theorems, likelihood-based methods in hypothesis testing and parameter estimation, and Studentized pivots and bootstrap-$t$ methods for confidence intervals. In contrast to standard normalization, large values of the observations play a lesser role as they appear both in the numerator and its self-normalized denominator, thereby making the process scale invariant and contributing to its robustness. Herein we survey a number of results for self-normalized processes in the case of dependent variables and describe a key method called ``pseudo-maximization'' that has been used to derive these results. In the multivariate case, self-normalization consists of multiplying by the inverse of a positive definite matrix (instead of dividing by a positive random variable as in the scalar case) and is ubiquitous in statistical applications, examples of which are given.
Klass Michael J.
la Pena Victor H. de
Lai Tze Leung
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