Tightened exponential bounds for discrete-time conditionally symmetric martingales with bounded jumps

Igal Sason

doi:10.1016/j.spl.2013.04.015

Tightened exponential bounds for discrete-time conditionally symmetric martingales with bounded jumps

Igal Sason

Electrical and Computer Engineering

Technion - Israel Institute of Technology

Research output: Contribution to journal › Article › peer-review

Abstract

This letter derives some new exponential bounds for discrete-time real-valued conditionally symmetric martingales with bounded jumps. The new bounds are extended to conditionally symmetric sub/supermartingales, and they are compared to some existing bounds.

Original language	English
Pages (from-to)	1928-1936
Number of pages	9
Journal	Statistics and Probability Letters
Volume	83
Issue number	8
DOIs	https://doi.org/10.1016/j.spl.2013.04.015
State	Published - Aug 2013

Keywords

Concentration inequalities
Discrete-time (sub/super) martingales
Large deviations

All Science Journal Classification (ASJC) codes

Statistics and Probability
Statistics, Probability and Uncertainty

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10.1016/j.spl.2013.04.015

Cite this

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title = "Tightened exponential bounds for discrete-time conditionally symmetric martingales with bounded jumps",

abstract = "This letter derives some new exponential bounds for discrete-time real-valued conditionally symmetric martingales with bounded jumps. The new bounds are extended to conditionally symmetric sub/supermartingales, and they are compared to some existing bounds.",

keywords = "Concentration inequalities, Discrete-time (sub/super) martingales, Large deviations",

author = "Igal Sason",

note = "Funding Information: I thank the anonymous reviewer and the Associate Editor for their detailed comments that improved the presentation of this paper. Suggestions made by Ofer Zeitouni were also helpful in improving the presentation of the results in the original draft (prior submission). This research was supported by the Israeli Science Foundation (ISF) , grant number 12/12 .",

year = "2013",

month = aug,

doi = "10.1016/j.spl.2013.04.015",

language = "الإنجليزيّة",

volume = "83",

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AU - Sason, Igal

N1 - Funding Information: I thank the anonymous reviewer and the Associate Editor for their detailed comments that improved the presentation of this paper. Suggestions made by Ofer Zeitouni were also helpful in improving the presentation of the results in the original draft (prior submission). This research was supported by the Israeli Science Foundation (ISF) , grant number 12/12 .

PY - 2013/8

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N2 - This letter derives some new exponential bounds for discrete-time real-valued conditionally symmetric martingales with bounded jumps. The new bounds are extended to conditionally symmetric sub/supermartingales, and they are compared to some existing bounds.

AB - This letter derives some new exponential bounds for discrete-time real-valued conditionally symmetric martingales with bounded jumps. The new bounds are extended to conditionally symmetric sub/supermartingales, and they are compared to some existing bounds.

KW - Concentration inequalities

KW - Discrete-time (sub/super) martingales

KW - Large deviations

UR - http://www.scopus.com/inward/record.url?scp=84878213717&partnerID=8YFLogxK

U2 - 10.1016/j.spl.2013.04.015

DO - 10.1016/j.spl.2013.04.015

M3 - مقالة

SN - 0167-7152

VL - 83

SP - 1928

EP - 1936

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

IS - 8

ER -

Tightened exponential bounds for discrete-time conditionally symmetric martingales with bounded jumps

Abstract

Keywords

All Science Journal Classification (ASJC) codes

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