Tail estimates for martingale under "LLN" norming sequence
Probability
2012-07-10 v1
Abstract
In this paper non-asymptotic exponential and moment estimates are derived for tail of distribution for discrete time martingale under norming sequence 1/n, as in the classical Law of Large Numbers (LLN), by means of martingale differences as a rule in the terms of unconditional moments and tails of distributions of summands. We show also the exactness of obtained estimations.
Cite
@article{arxiv.1207.1908,
title = {Tail estimates for martingale under "LLN" norming sequence},
author = {E. Ostrovsky and L. Sirota},
journal= {arXiv preprint arXiv:1207.1908},
year = {2012}
}