PASCAL - Pattern Analysis, Statistical Modelling and Computational Learning

Some New Maximal Inequalities
Peter Harremoes
Statistics and Probability Letters 2007.

Abstract

New maximal inequalities for non-negative martingales are proved. The inequalities are tight and strengthen well-known maximal inequalities by Doob. The inequalities relates martingales to information divergence and imply convergence of $X\ln X$ bounded martingales. Similar results holds for stationary sequences

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EPrint Type:Article
Project Keyword:Project Keyword UNSPECIFIED
Subjects:Learning/Statistics & Optimisation
ID Code:3466
Deposited By:Peter Harremoes
Deposited On:11 February 2008