Exponential inequalities for self-normalized martingales with applications
| hal.structure.identifier | Institut de Mathématiques de Bordeaux [IMB] | |
| hal.structure.identifier | Quality control and dynamic reliability [CQFD] | |
| dc.contributor.author | BERCU, Bernard | |
| hal.structure.identifier | Institut de Mathématiques de Bordeaux [IMB] | |
| dc.contributor.author | TOUATI, Abderrahmen | |
| dc.date.accessioned | 2024-04-04T03:07:54Z | |
| dc.date.available | 2024-04-04T03:07:54Z | |
| dc.date.created | 2007-07-24 | |
| dc.date.issued | 2008 | |
| dc.identifier.issn | 1050-5164 | |
| dc.identifier.uri | https://oskar-bordeaux.fr/handle/20.500.12278/193485 | |
| dc.description.abstractEn | 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 associated with linear regressions, autoregressive and branching processes are also provided. | |
| dc.language.iso | en | |
| dc.publisher | Institute of Mathematical Statistics (IMS) | |
| dc.subject | Exponential inequalities | |
| dc.subject | Martingales | |
| dc.subject | Autoregressive processes | |
| dc.subject | Branching processes | |
| dc.title.en | Exponential inequalities for self-normalized martingales with applications | |
| dc.type | Article de revue | |
| dc.subject.hal | Mathématiques [math]/Statistiques [math.ST] | |
| dc.subject.hal | Statistiques [stat]/Théorie [stat.TH] | |
| dc.subject.hal | Mathématiques [math]/Probabilités [math.PR] | |
| dc.identifier.arxiv | 0707.3715 | |
| bordeaux.journal | The Annals of Applied Probability | |
| bordeaux.page | 1848-1869 | |
| bordeaux.volume | 18 | |
| 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-00165219 | |
| hal.version | 1 | |
| hal.popular | non | |
| hal.audience | Internationale | |
| hal.origin.link | https://hal.archives-ouvertes.fr//hal-00165219v1 | |
| bordeaux.COinS | ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=The%20Annals%20of%20Applied%20Probability&rft.date=2008&rft.volume=18&rft.spage=1848-1869&rft.epage=1848-1869&rft.eissn=1050-5164&rft.issn=1050-5164&rft.au=BERCU,%20Bernard&TOUATI,%20Abderrahmen&rft.genre=article |
Fichier(s) constituant ce document
| Fichiers | Taille | Format | Vue |
|---|---|---|---|
|
Il n'y a pas de fichiers associés à ce document. |
|||