Theory and applications of multivariate self-normalized processes

DOI10.1016/j.spa.2009.10.003zbMath1190.60017OpenAlexW2034709788MaRDI QIDQ1045798

Michael J. Klass, Tze Leung Lai, Victor H. de la Peña

Publication date: 16 December 2009

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2009.10.003

zbMATH Keywords

matrix normalizationStrassen-type law of the iterated logarithmboundary crossing probabilitiesmethod of mixturesexponential and moment inequalitiesmultivariate martingalesmultivariate self-normalized processpseudo-maximization

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Strong limit theorems (60F15) Martingales with continuous parameter (60G44) Large deviations (60F10)

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Time-uniform Chernoff bounds via nonnegative supermartingales, Stochastic approximation: from statistical origin to big-data, multidisciplinary applications, Time-uniform, nonparametric, nonasymptotic confidence sequences

Cites Work

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