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hal.structure.identifierInstitut de Mathématiques de Bordeaux [IMB]
dc.contributor.authorBERCU, Bernard
hal.structure.identifierLaboratoire de Probabilités, Statistique et Modélisation [LPSM (UMR_8001)]
dc.contributor.authorTOUATI, Taieb
dc.date.accessioned2024-04-04T02:59:21Z
dc.date.available2024-04-04T02:59:21Z
dc.date.issued2019
dc.identifier.issn1083-589X
dc.identifier.urihttps://oskar-bordeaux.fr/handle/20.500.12278/192735
dc.description.abstractEnWe 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.
dc.language.isoen
dc.publisherInstitute of Mathematical Statistics (IMS)
dc.subject.enconcentration inequalities
dc.subject.enmartingales
dc.subject.enautoregressive process
dc.subject.enstatistical learning
dc.title.enNew insights on concentration inequalities for self-normalized martingales
dc.typeArticle de revue
dc.identifier.doi10.1214/19-ECP269
dc.subject.halMathématiques [math]
bordeaux.journalElectronic Communications in Probability
bordeaux.volume24
bordeaux.hal.laboratoriesInstitut de Mathématiques de Bordeaux (IMB) - UMR 5251*
bordeaux.institutionUniversité de Bordeaux
bordeaux.institutionBordeaux INP
bordeaux.institutionCNRS
bordeaux.peerReviewedoui
hal.identifierhal-02345000
hal.version1
hal.popularnon
hal.audienceInternationale
hal.origin.linkhttps://hal.archives-ouvertes.fr//hal-02345000v1
bordeaux.COinSctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Electronic%20Communications%20in%20Probability&rft.date=2019&rft.volume=24&rft.eissn=1083-589X&rft.issn=1083-589X&rft.au=BERCU,%20Bernard&TOUATI,%20Taieb&rft.genre=article


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