Deviation probability bounds for fractional martingales and related remarks

DOI10.1016/J.SPL.2012.05.005MaRDI QIDQ449027zbMATH OpenOpenAlexFDO

Authors Bruno Saussereau

Publication date 11 September 2012

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1204.4268

zbMATH Keywords

exponential inequalityfractional martingaleslaw of large numbers

Mathematics Subject Classification ID

Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12) Fractional processes, including fractional Brownian motion (60G22) Generalizations of martingales (60G48)

Abstract: In this paper we prove exponential inequalities (also called Bernstein's inequality) for fractional martingales. As an immediate corollary, we will discuss weak law of large numbers for fractional martingales under divergence assumption on the $$variation of the fractional martingale. A non trivial example of application of this convergence result is proposed.

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Cited in

(2)

• Nonparametric inference for fractional diffusion
• scientific article; zbMATH DE number 7371972 (Why is no real title available?)

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