Exponential inequalities for self-normalized martingales with applications
Bercu, Bernard ; Touati, Abderrahmen
Ann. Appl. Probab., Tome 18 (2008) no. 1, p. 1848-1869 / Harvested from Project Euclid
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We 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.
Publié le : 2008-10-15
Classification:  Exponential inequalities,  martingales,  autoregressive processes,  branching processes,  60E15,  60G42,  60G15,  60J80 
@article{1225372953,
     author = {Bercu, Bernard and Touati, Abderrahmen},
     title = {Exponential inequalities for self-normalized martingales with applications},
     journal = {Ann. Appl. Probab.},
     volume = {18},
     number = {1},
     year = {2008},
     pages = { 1848-1869},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1225372953}
}

Bercu, Bernard; Touati, Abderrahmen. Exponential inequalities for self-normalized martingales with applications. Ann. Appl. Probab., Tome 18 (2008) no. 1, pp.  1848-1869. http://gdmltest.u-ga.fr/item/1225372953/