Self-Normalized Exponential Inequalities for Martingales
Received:July 21, 2018  Revised:December 26, 2018
Key Words: exponential inequalities   self-normalized processes   martingales  
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Author NameAffiliation
Shen WANG Center for Applied Mathematics, Tianjin University, Tianjin 300072, P. R. China 
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Abstract:
      We give an extension of Delyon's inequality for locally square integrable martingales. The result is very useful for establishing self-normalized exponential inequality for martingales. An application to linear regressions is discussed.
Citation:
DOI:10.3770/j.issn:2095-2651.2019.03.010
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