An Inequality for Vector-Valued Martingales and Its Applications

Jushan Bai

Working papers from Massachusetts Institute of Technology (MIT), Department of Economics

Abstract: In this paper, we derive a general Hajek-Renyi type inequality for vector-valued martingales. Several well known inequalities are shown to be special cases of this general inequality. We also derive a similar inequality for dependent sequences. We then apply the inequality to the problem of strong consistency of least squares estimators for multiple regressions.

Keywords: MATHEMATICS; ECONOMETRICS; EVALUATION (search for similar items in EconPapers)
JEL-codes: C10 C13 C19 (search for similar items in EconPapers)
Pages: 12 pages
Date: 1996
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Citations: View citations in EconPapers (4)

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