Exponential inequalities for self-normalized martingales with applications
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Publication:957522
DOI10.1214/07-AAP506zbMATH Open1152.60309arXiv0707.3715MaRDI QIDQ957522FDOQ957522
Authors: Bernard Bercu, Abderrahmen Touati 
Publication date: 27 November 2008
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Abstract: We propose several exponential inequalities for self-normalized martingales similar to those established by De la Pe~{n}a. The keystone is the introduction of a new notion of random variable heavy on left or right. Applications associated with linear regressions, autoregressive and branching processes are also provided.
Full work available at URL: https://arxiv.org/abs/0707.3715
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Gaussian processes (60G15) Inequalities; stochastic orderings (60E15) Martingales with discrete parameter (60G42) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)
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Cited In (52)
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