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Self-Normalized Exponential Inequalities for Martingales
Received:July 21, 2018
Revised:December 26, 2018
Key Words
:
exponential inequalities
self-normalized processes
martingales
Fund Project
:
Author Name
Affiliation
Shen WANG
Center for Applied Mathematics
,
Tianjin University
,
Tianjin 300072
,
P. R. China
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Abstract
:
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.
Citation:
DOI
:
10.3770/j.issn:2095-2651.2019.03.010
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