Self-normalized processes: exponential inequalities, moment bounds and iterated logarithm laws.
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Abstract: Self-normalized processes arise naturally in statistical applications. Being unit free, they are not affected by scale changes. Moreover, self-normalization often eliminates or weakens moment assumptions. In this paper we present several exponential and moment inequalities, particularly those related to laws of the iterated logarithm, for self-normalized random variables including martingales. Tail probability bounds are also derived. For random variables B_t>0 and A_t, let Y_t(lambda)=exp{lambda A_t-lambda ^2B_t^2/2}. We develop inequalities for the moments of A_t/B_{t} or sup_{tgeq 0}A_t/{B_t(log log B_{t})^{1/2}} and variants thereof, when EY_t(lambda )leq 1 or when Y_t(lambda) is a supermartingale, for all lambda belonging to some interval. Our results are valid for a wide class of random processes including continuous martingales with A_t=M_t and B_t=sqrt < M>_t, and sums of conditionally symmetric variables d_i with A_t=sum_{i=1}^td_i and B_t=sqrtsum_{i=1}^td_i^2. A sharp maximal inequality for conditionally symmetric random variables and for continuous local martingales with values in R^m, mge 1, is also established. Another development in this paper is a bounded law of the iterated logarithm for general adapted sequences that are centered at certain truncated conditional expectations and self-normalized by the square root of the sum of squares. The key ingredient in this development is a new exponential supermartingale involving sum_{i=1}^td_i and sum_{i=1}^td_i^2.
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