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

Igal Sason

Statistics & Probability Letters, 2013, vol. 83, issue 8, 1928-1936

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: Discrete-time (sub/super) martingales; Large deviations; Concentration inequalities (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1016/j.spl.2013.04.015

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