Deviation inequalities for martingales with applications

DOI10.1016/J.JMAA.2016.11.023zbMATH Open1387.60034OpenAlexW2556587276MaRDI QIDQ2374243FDOQ2374243

Authors: Xiequan Fan, Ion Grama, Quansheng Liu 

Publication date: 14 December 2016

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2016.11.023

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zbMATH Keywords

martingaleslarge deviationsdeviation inequalitiesweak invariance principleslinear regressionsself-normalized deviations

Mathematics Subject Classification ID

Large deviations (60F10) Inequalities; stochastic orderings (60E15) Martingales with discrete parameter (60G42)

Cites Work

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Cited In (16)

• Deviation and concentration inequalities for dynamical systems with subexponential decay of correlations
• Self-normalized exponential inequalities for martingales
• Strong approximations for a class of dependent random variables with semi-exponential tails
• Uniform Cramér moderate deviations and Berry-Esseen bounds for a supercritical branching process in a random environment
• Deviation inequality for Banach-valued orthomartingales
• Deviation inequalities for a supercritical branching process in a random environment
• Deviation inequalities for separately Lipschitz functionals of composition of random functions
• Deviation probability bounds for fractional martingales and related remarks
• New deviation inequalities for martingales with bounded increments
• Limit theorems for iid products of positive matrices
• Rates of convergence in invariance principles for random walks on linear groups via martingale methods
• Deviation inequalities for stochastic approximation by averaging
• Deviation probability bound for martingales with applications to statistical estimation
• Martingale estimates for the distribution of the deviation of density estimates
• Deviation inequalities for Banach space valued martingales differences sequences and random fields
• Martingale inequalities and the jackknife estimate of variance

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