Exponential Inequalities for Self-normalized Martingales with Applications

@inproceedings{Bercu2007ExponentialIF,
  title={Exponential Inequalities for Self-normalized Martingales with Applications},
  author={By Bernard Bercu and A. Touati},
  year={2007}
}
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. 
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