Martingale inequalities of type Dzhaparidze and van Zanten

DOI10.1080/02331888.2017.1318138MaRDI QIDQ4600807zbMATH OpenOpenAlexFDO

Authors Xiequan Fan, Ion Grama, Quansheng Liu

Publication date 12 January 2018

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1404.4776

de la Peña inequality exponential inequalities Freedman inequality martingales self-normalized deviations tail probabilities

Mathematics Subject Classification ID

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

Abstract: Freedman's inequality is a supermartingale counterpart to Bennett's inequality. This result shows that the tail probabilities of a supermartingale is controlled by the quadratic characteristic and a uniform upper bound for the supermartingale difference sequence. Replacing the quadratic characteristic by

e x t r m H_{k}^{y} := s u m_{i = 1}^{k} l e f t (m a t h b f E (x i_{i}^{2} | m a t h c a l F_{i - 1}) + x i_{i}^{2} e x t b f 1_{| x i_{i} | > y} i g h t),

Dzhaparidze and van Zanten (emph{Stochastic Process. Appl.}, 2001) have extended Freedman's inequality to martingales with unbounded differences. In this paper, we prove that

e x t r m H_{k}^{y}

can be refined to

e x t r m G_{k}^{y} := s u m_{i = 1}^{k} l e f t (m a t h b f E (x i_{i}^{2} e x t b f 1_{x i_{i} l e q y} | m a t h c a l F_{i - 1}) + x i_{i}^{2} e x t b f 1_{x i_{i} > y} i g h t) .

Moreover, we also establish two inequalities of type Dzhaparidze and van Zanten. These results extend Sason's inequality (emph{Statist. Probab. Lett.}, 2012) to the martingales with possibly unbounded differences and establish the connection between Sason's inequality and De la Pe~{n}a's inequality (emph{Ann. Probab.,} 1999). An application to self-normalized deviations is given.

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