Bernstein type inequalities for self-normalized martingales with applications
From MaRDI portal
(Redirected from Publication:4632271)
Abstract: For self-normalized martingales with conditionally symmetric differences, de la Pe~{n}a [A general class of exponential inequalities for martingales and ratios. Ann. Probab. 27, No.1, 537-564] established the Gaussian type exponential inequalities. Bercu and Touati [Exponential inequalities for self-normalized martingales with applications. Ann. Appl. Probab. 18: 1848-1869] extended de la Pe~{n}a's inequalities to martingales with differences heavy on left. In this paper, we establish Bernstein type exponential inequalities for self-normalized martingales with differences bounded from below. Moreover, applications to self-normalized sums, t-statistics and autoregressive processes are discussed.
Recommendations
- Exponential inequalities for self-normalized martingales with applications
- Self-normalized exponential inequalities for martingales
- Dzhaparidze-van Zanten type inequalities for self-normalized martingales
- New insights on concentration inequalities for self-normalized martingales
- Berry-Esseen bounds for self-normalized martingales
Cites work
- A general class of exponential inequalities for martingales and ratios
- Concentration inequalities for sums and martingales
- Deviation probability bound for martingales with applications to statistical estimation
- Exponential inequalities for martingales with applications
- Exponential inequalities for self-normalized martingales with applications
- Hoeffding's inequality for supermartingales
- Martingale inequalities of type Dzhaparidze and van Zanten
- New deviation inequalities for martingales with bounded increments
- On Bernstein-type inequalities for martingales.
- On tail probabilities for martingales
- Probability Inequalities for the Sum of Independent Random Variables
- Pseudo-maximization and self-normalized processes
- Student's t-Test Under Symmetry Conditions
Cited in
(7)- Exponential inequalities for self-normalized processes with applications
- Berry-Esseen bounds for self-normalized martingales
- New insights on concentration inequalities for self-normalized martingales
- Dzhaparidze-van Zanten type inequalities for self-normalized martingales
- scientific article; zbMATH DE number 1552475 (Why is no real title available?)
- Self-normalized exponential inequalities for martingales
- Exponential inequalities for self-normalized martingales with applications
This page was built for publication: Bernstein type inequalities for self-normalized martingales with applications
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4632271)
