Theory and applications of multivariate self-normalized processes

DOI10.1016/J.SPA.2009.10.003zbMATH Open1190.60017OpenAlexW2034709788MaRDI QIDQ1045798FDOQ1045798

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

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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)

Cites Work

• Statistical Methods Related to the Law of the Iterated Logarithm
• Exponential inequalities for self-normalized martingales with applications
• Least squares estimates in stochastic regression models with applications to identification and control of dynamic systems
• Title not available (Why is that?)
• Maximal inequalities for the Ornstein-Uhlenbeck process
• Self-normalized large deviations
• Self-normalized processes: exponential inequalities, moment bounds and iterated logarithm laws.
• Maximal inequalities and the law of the iterated logarithm
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• A functional law of the iterated logarithm for empirical distribution functions of weakly dependent random variables
• Large and moderate deviations for Hotelling's \(T^2\)-statistic
• Consistency and asymptotic efficiency of slope estimates in stochastic approximation schemes
• Boundary crossing probabilities for sample sums and confidence sequences
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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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