Bernstein type inequalities for self-normalized martingales with applications

DOI10.1080/02331888.2018.1550086zbMath1411.60060arXiv1803.05150OpenAlexW2963266295MaRDI QIDQ4632271

Xiequan Fan, Shen Wang

Publication date: 29 April 2019

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1803.05150

zbMATH Keywords

autoregressive processesexponential inequalitiesself-normalized martingales

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Martingales with discrete parameter (60G42) Large deviations (60F10)

Cites Work

• Hoeffding's inequality for supermartingales
• New deviation inequalities for martingales with bounded increments
• Exponential inequalities for self-normalized martingales with applications
• Pseudo-maximization and self-normalized processes
• On tail probabilities for martingales
• A general class of exponential inequalities for martingales and ratios
• On Bernstein-type inequalities for martingales.
• Deviation probability bound for martingales with applications to statistical estimation
• Exponential inequalities for martingales with applications
• Probability Inequalities for the Sum of Independent Random Variables
• Martingale inequalities of type Dzhaparidze and van Zanten
• Concentration Inequalities for Sums and Martingales
• Student's t-Test Under Symmetry Conditions

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