Exponential inequalities for martingales with applications The following exponential inequality for supermartingales can be found in Freedman

@inproceedings{Fan2015ExponentialIF,
  title={Exponential inequalities for martingales with applications The following exponential inequality for supermartingales can be found in Freedman},
  author={Xiequan Fan and I. Grama and Quansheng Liu},
  year={2015}
}
The paper is devoted to establishing some general exponential inequalities for supermartingales. The inequalities improve or generalize many exponential inequalities of Bennett, Freedman, de la Peña, Pinelis and van de Geer. Moreover, our concentration inequalities also improve some known inequalities for sums of independent random variables. Applications associated with linear regressions, autoregressive processes and branching processes are provided. In particular, an interesting application… CONTINUE READING

From This Paper

Topics from this paper.
4 Citations
38 References
Similar Papers

References

Publications referenced by this paper.
Showing 1-10 of 38 references

Inégalités exponentielles pour les martingales

  • B. Bercu
  • Journées ALEA,
  • 2008
Highly Influential
9 Excerpts

On Hoeffding’s inequality for dependent random variables. In Empirical Process Techniques for Dependent Data (H

  • S. van de Geer
  • 2002
Highly Influential
14 Excerpts

Optimum bounds for the distributions of martingales in Banach spaces

  • I. Pinelis
  • Ann. Probab
  • 1994
Highly Influential
13 Excerpts

Emprical processes with application to statistics, Wiley, New York

  • G. R. Shorack, J. Wellner
  • 1986
Highly Influential
5 Excerpts

Some probabilitic inequalties for martingales

  • Fuk, D. Kh
  • Siberian. Math. J. 14,
  • 1973
Highly Influential
10 Excerpts

Probability inequalities for the sum of independent random variables

  • G. Bennett
  • J. Amer. Statist. Assoc
  • 1962
Highly Influential
8 Excerpts

An inequality for tail probabilities of martingales with differences bounded from one side

  • V. Bentkus
  • J. Theoret. Probab. 16,
  • 2003
Highly Influential
7 Excerpts

Similar Papers

Loading similar papers…