Exponential inequalities for self-normalized martingales with applications
From MaRDI portal
(Redirected from Publication:957522)
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.
Recommendations
- Self-normalized exponential inequalities for martingales
- Bernstein type inequalities for self-normalized martingales with applications
- Exponential inequalities for martingales with applications
- New insights on concentration inequalities for self-normalized martingales
- Exponential inequalities for self-normalized processes with applications
Cites work
- scientific article; zbMATH DE number 52750 (Why is no real title available?)
- scientific article; zbMATH DE number 1246230 (Why is no real title available?)
- scientific article; zbMATH DE number 3410334 (Why is no real title available?)
- scientific article; zbMATH DE number 3190745 (Why is no real title available?)
- A general class of exponential inequalities for martingales and ratios
- Deviation probability bound for martingales with applications to statistical estimation
- Exponential inequalities for martingales, with application to maximum likelihood estimation for counting processes
- Harmonic moments and large deviation rates for supercritical branching processes
- Inequalities for a Pair of Processes Stopped at a Random Time
- Large and moderate deviations upper bounds for the Gaussian autoregressive process
- Large deviation rates for branching processes. I: Single type case
- Large deviations for quadratic forms of stationary Gaussian processes
- Local limit theory and large deviations for supercritical branching processes.
- Moderate deviations for stable Markov chains and regression models
- On Bernstein-type inequalities for martingales.
- On large deviations in the Gaussian autoregressive process: Stable, unstable and explosive cases
- On tail probabilities for martingales
- Optimum bounds for the distributions of martingales in Banach spaces
- Probability Inequalities for Sums of Bounded Random Variables
- Pseudo-maximization and self-normalized processes
- Self-normalized processes: exponential inequalities, moment bounds and iterated logarithm laws.
- The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
- The median of the Poisson distribution
- Weighted sums of certain dependent random variables
Cited in
(52)- New robust inference for predictive regressions
- Exponential bounds for multivariate self-normalized sums
- Exponential inequalities for self-normalized processes with applications
- Self-normalized Cramér type moderate deviations for stationary sequences and applications
- Self-normalized Cramér type moderate deviations for martingales
- Self-normalized Cramér moderate deviations for a supercritical Galton–Watson process
- Boundedness of M-estimators for linear regression in time series
- Self-normalized Cramér-type moderate deviations under dependence
- Dynamical analysis of a delayed stochastic Lotka-Volterra competitive model in polluted aquatic environments
- On a random model of forgetting
- Finite-sample exact tests for linear regressions with bounded dependent variables
- Theory and applications of multivariate self-normalized processes
- scientific article; zbMATH DE number 1552475 (Why is no real title available?)
- Bernstein type inequalities for self-normalized martingales with applications
- Cramér type moderate deviations for self-normalized \(\psi \)-mixing sequences
- MODERATE DEVIATIONS FOR THE DURBIN-WATSON STATISTIC ASSOCIATED TO THE STABLE p-ORDER AUTOREGRESSIVE PROCESS
- Bound on the maximal function associated to the law of the iterated logarithms for Bernoulli random fields
- Stochastic online convex optimization. Application to probabilistic time series forecasting
- Exponential inequalities and the law of the iterated logarithm in the unbounded forecasting game
- Deviation inequalities and moderate deviations for estimators of parameters in bifurcating autoregressive models
- Microscopic derivation of a traffic flow model with a bifurcation
- An exponential inequality and the convergence rate of the strong law of large numbers in the unbounded forecasting game
- Self-normalized processes: exponential inequalities, moment bounds and iterated logarithm laws.
- Self-normalization: taming a wild population in a heavy-tailed world
- Exponential inequalities for martingales with applications
- Time-uniform Chernoff bounds via nonnegative supermartingales
- Deviation inequalities for martingales with applications
- Lasso and probabilistic inequalities for multivariate point processes
- New insights on concentration inequalities for self-normalized martingales
- Predictive, finite-sample model choice for time series under stationarity and non-stationarity
- Non-uniform Berry-Esseen bounds for martingales with applications to statistical estimation
- Nonparametric regression with martingale increment errors
- Least squares estimation for nonlinear regression models with heteroscedasticity
- Heteroscedasticity testing after outlier removal
- Asymptotic analysis of iterated 1-step Huber-skip M-estimators with varying cut-offs
- Nonparametric inference for quantile cointegrations with stationary covariates
- Hoeffding's inequality for supermartingales
- Adaptive wavelet estimation of the diffusion coefficient under additive error measurements
- Berry-Esseen bounds for self-normalized martingales
- scientific article; zbMATH DE number 7626738 (Why is no real title available?)
- A uniform law for convergence to the local times of linear fractional stable motions
- Cramér's moderate deviations for martingales with applications
- Exponential inequalities for self-normalized martingales
- Analysis of the forward search using some new results for martingales and empirical processes
- Berry-Esseen bounds for self-normalized sums of locally dependent random variables
- scientific article; zbMATH DE number 7626801 (Why is no real title available?)
- Uniform convergence rates over maximal domains in structural nonparametric cointegrating regression
- Dzhaparidze-van Zanten type inequalities for self-normalized martingales
- Asymptotic theory of outlier detection algorithms for linear time series regression models
- Moderate deviations for the mildly stationary autoregressive model with dependent errors
- Maximal function associated to the bounded law of the iterated logarithms via orthomartingale approximation
- Self-normalized exponential inequalities for martingales
This page was built for publication: Exponential 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 Q957522)
