New insights on concentration inequalities for self-normalized martingales - Sorbonne Université
Article Dans Une Revue Electronic Communications in Probability Année : 2019

New insights on concentration inequalities for self-normalized martingales

Résumé

We propose new concentration inequalities for self-normalized martingales. The main idea is to introduce a suitable weighted sum of the predictable quadratic variation and the total quadratic variation of the martingale. It offers much more flexibility and allows us to improve previous concentration inequalities. Statistical applications on autoregressive process, internal diffusion-limited aggregation process, and online statistical learning are also provided.
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Dates et versions

hal-02345000 , version 1 (04-11-2019)

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Bernard Bercu, Taieb Touati. New insights on concentration inequalities for self-normalized martingales. Electronic Communications in Probability, 2019, 24, ⟨10.1214/19-ECP269⟩. ⟨hal-02345000⟩
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