Exponential inequalities for self-normalized martingales with applications
Langue
en
Article de revue
Ce document a été publié dans
The Annals of Applied Probability. 2008, vol. 18, p. 1848-1869
Institute of Mathematical Statistics (IMS)
Résumé en anglais
We propose several exponential inequalities for self-normalized martingales similar to those established by De la Pena. The keystone is the introduction of a new notion of random variable heavy on left or right. Applications ...Lire la suite >
Mots clés
Exponential inequalities
Martingales
Autoregressive processes
Branching processes