Dzhaparidze-van Zanten type inequalities for self-normalized martingales

DOI10.16783/J.CNKI.NWNUZ.2020.04.004MaRDI QIDQ3386110zbMATH OpenFDO

Authors Wencong Zhang

Publication date 14 January 2021

Full work available at URL https://arxiv.org/abs/2005.04575

zbMATH Keywords

\(t\)-statisticlinear regressionexponential inequalityDzhaparidze-van Zanten type inequalityself-normalized martingale

Mathematics Subject Classification ID

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

Abstract: The Bernstein inequality is a tight upper bound on tail probabilities for independent random variables. Freedman extended the Bernstein inequality to martingales with differences bounded from above, and then Dzhaparidze and van Zanten generalized Freedman's result to non-bounded locally square integrable martingales. In this paper, we derive some Dzhaparidze-van Zanten type inequalities for self-normalized martingales with square integrable and non-square integrable differences.

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