Dzhaparidze-van Zanten type inequalities for self-normalized martingales

DOI10.16783/J.CNKI.NWNUZ.2020.04.004zbMATH Open1463.60030arXiv2005.04575MaRDI QIDQ3386110FDOQ3386110

Authors: Wencong Zhang 

Publication date: 14 January 2021

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.

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

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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)

Cited In (4)

• Berry-Esseen bounds for self-normalized martingales
• New insights on concentration inequalities for self-normalized martingales
• Martingale inequalities of type Dzhaparidze and van Zanten
• Title not available (Why is that?)

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