A moderate deviation for associated random variables

Abstract

Moderate deviations are an important topic in many theoretical or applied statistical areas. We prove two versions of a moderate deviation for associated and strictly stationary random variables with finite moments of order q > 2. The first one uses an assumption depending on the rate of a Gaussian approximation, while the second one discusses more natural assumptions to obtain the approximation rate. The control of the dependence structure relies on the decay rate of the covariances, for which we assume a relatively mild polynomial decay rate. The proof combines a coupling argument together with a suitable use of Berry–Esséen bounds.