New insights on concentration inequalities for self-normalized martingales
Langue
en
Article de revue
Ce document a été publié dans
Electronic Communications in Probability. 2019, vol. 24
Institute of Mathematical Statistics (IMS)
Résumé en anglais
We propose new concentration inequalities for self-normalized martingales. The main idea is to introduce a suitable weighted sum of the predictable quadratic variation and the total quadratic variation of the martingale. ...Lire la suite >
We propose new concentration inequalities for self-normalized martingales. The main idea is to introduce a suitable weighted sum of the predictable quadratic variation and the total quadratic variation of the martingale. It offers much more flexibility and allows us to improve previous concentration inequalities. Statistical applications on autoregressive process, internal diffusion-limited aggregation process, and online statistical learning are also provided.< Réduire
Mots clés en anglais
concentration inequalities
martingales
autoregressive process
statistical learning
Origine
Importé de halUnités de recherche