New insights on concentration inequalities for self-normalized martingales
| hal.structure.identifier | Institut de Mathématiques de Bordeaux [IMB] | |
| dc.contributor.author | BERCU, Bernard | |
| hal.structure.identifier | Laboratoire de Probabilités, Statistique et Modélisation [LPSM (UMR_8001)] | |
| dc.contributor.author | TOUATI, Taieb | |
| dc.date.accessioned | 2024-04-04T02:59:21Z | |
| dc.date.available | 2024-04-04T02:59:21Z | |
| dc.date.issued | 2019 | |
| dc.identifier.issn | 1083-589X | |
| dc.identifier.uri | https://oskar-bordeaux.fr/handle/20.500.12278/192735 | |
| dc.description.abstractEn | 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. | |
| dc.language.iso | en | |
| dc.publisher | Institute of Mathematical Statistics (IMS) | |
| dc.subject.en | concentration inequalities | |
| dc.subject.en | martingales | |
| dc.subject.en | autoregressive process | |
| dc.subject.en | statistical learning | |
| dc.title.en | New insights on concentration inequalities for self-normalized martingales | |
| dc.type | Article de revue | |
| dc.identifier.doi | 10.1214/19-ECP269 | |
| dc.subject.hal | Mathématiques [math] | |
| bordeaux.journal | Electronic Communications in Probability | |
| bordeaux.volume | 24 | |
| bordeaux.hal.laboratories | Institut de Mathématiques de Bordeaux (IMB) - UMR 5251 | * |
| bordeaux.institution | Université de Bordeaux | |
| bordeaux.institution | Bordeaux INP | |
| bordeaux.institution | CNRS | |
| bordeaux.peerReviewed | oui | |
| hal.identifier | hal-02345000 | |
| hal.version | 1 | |
| hal.popular | non | |
| hal.audience | Internationale | |
| hal.origin.link | https://hal.archives-ouvertes.fr//hal-02345000v1 | |
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