Exponential inequalities for self-normalized martingales with applications
BERCU, Bernard
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
BERCU, Bernard
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
< Reduce
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
Language
en
Article de revue
This item was published in
The Annals of Applied Probability. 2008, vol. 18, p. 1848-1869
Institute of Mathematical Statistics (IMS)
English Abstract
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 ...Read more >
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.Read less <
Keywords
Exponential inequalities
Martingales
Autoregressive processes
Branching processes
Origin
Hal imported