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New insights on concentration inequalities for self-normalized martingales

BERCU, Bernard
Institut de Mathématiques de Bordeaux [IMB]
TOUATI, Taieb
Laboratoire de Probabilités, Statistique et Modélisation [LPSM (UMR_8001)]
Idioma
en
Article de revue
Este ítem está publicado en
Electronic Communications in Probability. 2019, vol. 24
Institute of Mathematical Statistics (IMS)
Resumen en inglés
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. ...Leer más >
Palabras clave en inglés
concentration inequalities
martingales
autoregressive process
statistical learning
URI
https://oskar-bordeaux.fr/handle/20.500.12278/192735
DOI
Orígen
Importado de Hal
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