Exponential inequalities for self-normalized martingales with applications

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dc.creatorBercu, Bernard
dc.creatorTouati, Abderrahmen
dc.date2007-07-25
dc.date2008-11-14
dc.date.accessioned2026-07-07T10:17:49Z
dc.date.available2026-07-07T10:17:49Z
dc.descriptionWe propose several exponential inequalities for self-normalized martingales similar to those established by De la Peña. 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.
dc.descriptionPublished in at http://dx.doi.org/10.1214/07-AAP506 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)
dc.identifierhttps://arxiv.org/abs/0707.3715
dc.identifierhttp://arxiv.org/abs/0707.3715
dc.identifierAnnals of Applied Probability 2008, Vol. 18, No. 5, 1848-1869
dc.identifierdoi:10.1214/07-AAP506
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/173983
dc.subjectStatistics Theory
dc.subjectProbability
dc.subject60E15, 60G42 (Primary) 60G15, 60J80 (Secondary)
dc.titleExponential inequalities for self-normalized martingales with applications
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