Self-normalized exponential inequalities for martingales
Received:July 21, 2018  Revised:November 01, 2018
Key Word: exponential inequalities   self-normalized processes   martingales  
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Shen Wang Center for Applied Mathematics, Tianjin University, sherry0wang@163.com 
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Abstract:
      We give an extension of Deylon''s inequality [2] 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.
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