Bernstein type inequalities for self-normalized martingales with applications
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Publication:4632271
DOI10.1080/02331888.2018.1550086zbMATH Open1411.60060arXiv1803.05150OpenAlexW2963266295MaRDI QIDQ4632271FDOQ4632271
Publication date: 29 April 2019
Published in: Statistics (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1803.05150
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