Theory and applications of multivariate self-normalized processes

DOI10.1016/J.SPA.2009.10.003MaRDI QIDQ1045798zbMATH OpenOpenAlexFDO

Authors Michael J. Klass, Tze Leung Lai, Victor H. de la Peña

Publication date 16 December 2009

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2009.10.003

zbMATH Keywords

matrix normalizationStrassen-type law of the iterated logarithmboundary crossing probabilitiesmethod of mixturesexponential and moment inequalitiesmultivariate martingalesmultivariate self-normalized processpseudo-maximization

Mathematics Subject Classification ID

Large deviations (60F10) Inequalities; stochastic orderings (60E15) Strong limit theorems (60F15) Martingales with continuous parameter (60G44)

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Cites work

• scientific article; zbMATH DE number 1149757 (Why is no real title available?)
• scientific article; zbMATH DE number 1552475 (Why is no real title available?)
• scientific article; zbMATH DE number 3333814 (Why is no real title available?)
• A functional law of the iterated logarithm for empirical distribution functions of weakly dependent random variables
• Boundary crossing probabilities for sample sums and confidence sequences
• Consistency and asymptotic efficiency of slope estimates in stochastic approximation schemes
• Exponential inequalities for self-normalized martingales with applications
• Large and moderate deviations for Hotelling's \(T^2\)-statistic
• Least squares estimates in stochastic regression models with applications to identification and control of dynamic systems
• Maximal inequalities and the law of the iterated logarithm
• Maximal inequalities for the Ornstein-Uhlenbeck process
• Self-normalized large deviations
• Self-normalized processes: exponential inequalities, moment bounds and iterated logarithm laws.
• Statistical Methods Related to the Law of the Iterated Logarithm

Cited in

(9)

• Stochastic approximation: from statistical origin to big-data, multidisciplinary applications
• Time-uniform, nonparametric, nonasymptotic confidence sequences
• Self-normalized processes: exponential inequalities, moment bounds and iterated logarithm laws.
• Pseudo-maximization and self-normalized processes
• Multivariate self-similar processes: second-order theory
• Time-uniform Chernoff bounds via nonnegative supermartingales
• Exponential bounds for multivariate self-normalized sums
• Exponential inequalities for self-normalized processes with applications
• Semi-parametric contextual bandits with graph-Laplacian regularization

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