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.
Citation
Bernard Bercu. Abderrahmen Touati. "Exponential inequalities for self-normalized martingales with applications." Ann. Appl. Probab. 18 (5) 1848 - 1869, October 2008. https://doi.org/10.1214/07-AAP506
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