New insights on concentration inequalities for self-normalized martingales
Language
en
Article de revue
This item was published in
Electronic Communications in Probability. 2019, vol. 24
Institute of Mathematical Statistics (IMS)
English Abstract
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. ...Read more >
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.Read less <
English Keywords
concentration inequalities
martingales
autoregressive process
statistical learning
Origin
Hal imported