INEQUALITIES FOR SELF-NORMALIZED PROCESSES AND MARTINGALES
The typical exponential inequalities for martingales do not deal with the case of self-normalization important
for its connection to the central limit theorem and the construction of confidence intervals. In this talk I will
introduce a new class of exponential inequalities for self-normalized processes. The results include inequalities
for the ratio of a mean-zero martingale over its conditional standard deviation as well as results dealing with
martingales over the square root of its sum of the squares.
This work is joint with M. J. Klass and T. L. Lai.
Seminar to be held in Room 107, 24 Hillhouse Avenue at 4:15 pm