Year: 2008
Type: article
Abstract: 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.
DOI: 10.1214/07-aap506
Authors: Bernard Bercu, Abderrahmen Touati
Institution: Institut de Mathématiques de Bordeaux
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: bronze
OpenAlex ID: W1980656704