On Bernstein Type Exponential Inequalities for Matrix Martingales
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Publication:6363701
arXiv2103.13690MaRDI QIDQ6363701
Author name not available (Why is that?)
Publication date: 25 March 2021
Abstract: In this work, Bernstein's concentration inequalities for squared integrable matrix-valued discrete-time martingales are obtained. Based on Lieb's theory and Bernstein's condition, a suitable supermartingale can be constructed. Our proof is largely based on this new exponential supermartingale, Freedman's method, and Doob's stopping theorem. Our result can be regarded as an extension of Tropp's work (ECP, 2012).
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