Self-Normalized Exponential Inequalities for Martingales
Received:July 21, 2018  Revised:December 26, 2018
Key Word: exponential inequalities   self-normalized processes   martingales  
Fund ProjectL:
Author NameAffiliation
Shen WANG Center for Applied Mathematics, Tianjin University, Tianjin 300072, P. R. China 
Hits: 659
Download times: 577
      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.
View Full Text  View/Add Comment  Download reader