New insights on concentration inequalities for self-normalized martingales

DOI10.1214/19-ECP269zbMATH Open1472.60034arXiv1810.10590OpenAlexW2979674141MaRDI QIDQ2332992FDOQ2332992

Authors: Bernard Bercu, Taieb Touati 

Publication date: 6 November 2019

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Abstract: 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. It offers much more flexibility and allows us to improve previous concentration inequalities. Statistical applications on autoregressive process, internal diffusion-limited aggregation process, and online statistical learning are also provided.

Full work available at URL: https://arxiv.org/abs/1810.10590

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zbMATH Keywords

martingalesstatistical learningconcentration inequalitiesautoregressive process

Mathematics Subject Classification ID

Gaussian processes (60G15) Inequalities; stochastic orderings (60E15) Martingales with discrete parameter (60G42) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

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Cited In (6)

• Exponential inequalities for self-normalized martingales with applications
• Berry-Esseen bounds for self-normalized martingales
• Self-normalized exponential inequalities for martingales
• Title not available (Why is that?)
• Dzhaparidze-van Zanten type inequalities for self-normalized martingales
• Exponential inequalities for self-normalized processes with applications

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