Related papers: Weighted L\'epingle inequality
We present a unified approach to Doob's $L^p$ maximal inequalities for $1\leq p<\infty$. The novelty of our method is that these martingale inequalities are obtained as consequences of elementary deterministic counterparts. The latter have…
We give a unified approach to weighted mixed-norm estimates and solvability for both the usual and time fractional parabolic equations in nondivergence form when coefficients are merely measurable in the time variable. In the spatial…
A new technique for proving uniqueness of martingale problems is introduced. The method is illustrated in the context of elliptic diffusions in $R^d$.
We introduce new quantile estimators with adaptive importance sampling. The adaptive estimators are based on weighted samples that are neither independent nor identically distributed. Using a new law of iterated logarithm for martingales,…
By differentiating a concavity principle arising from the Pr\'ekopa-Leindler inequality, we obtain a statement simultaneously strengthening the weighted boundary Poincar\'e inequality and the Brascamp-Lieb variance inequality. The resulting…
We give a proof of Cartlidge's result on the $l^{p}$ operator norms of weighted mean matrices for $p=2$ on interpreting the norms as eigenvalues of certain matrices.
The goal of this note is to give, at least for a restricted range of indices, a short proof of homogeneous commutator estimates for fractional derivatives of a product, using classical tools. Both $L^{p}$ and weighted $L^{p}$ estimates can…
The (relevance) weighted likelihood was introduced to formally embrace a variety of statistical procedures that trade bias for precision. Unlike its classical counterpart, the weighted likelihood combines all relevant information while…
In this paper non-asymptotic moment estimates are derived for tail of distribution for discrete time polynomial martingale by means of martingale differences as a rule in the terms of unconditional and unconditional relative moments and…
For any discrete-time $P$--local martingale $S$ there exists a probability measure $Q \sim P$ such that $S$ is a $Q$--martingale. A new proof for this result is provided. The core idea relies on an appropriate modification of an argument by…
In this paper we consider the semi-parametric estimation of extreme quantiles of a right heavy-tail model. We propose a new Log Probability Weighted Moment estimator for extreme quantiles, which is obtained from the estimators of the shape…
Comparing concentration properties of uniform sampling with and without replacement has a long history which can be traced back to the pioneer work of Hoeffding (1963). The goal of this short note is to extend this comparison to the case of…
In this paper we study the path-regularity and martingale properties of the set-valued stochastic integrals defined in our previous work Ararat et al. (2023). Such integrals have some fundamental differences from the well-known…
For 1<p<infty, and weight w in A_p, and function f in L^p(w), we show that the r-variation of the Walsh-Fourier sums are finite, for r sufficiently large as function of w. (That r is a function of w is necessary.) This strengthens a result…
We extend some sharp inequalities for martingale-differences to general multiplicative systems of random variables. The key ingredient in the proofs is a technique reducing the general case to the case of Rademacher random variables without…
We improve on several weighted inequalities of recent interest by replacing a part of the A_p bounds by weaker A_\infty estimates involving Wilson's A_\infty constant \[ [w]_{A_\infty}':=\sup_Q\frac{1}{w(Q)}\int_Q M(w\chi_Q). \] In…
The aim of this note is to show that Poincar\'e inequalities imply corresponding weighted versions in a quite general setting. Fractional Poincar\'e inequalities are considered, too. The proof is short and does not involve covering…
We present some results concerning the $l^p$ norms of weighted mean matrices. These results can be regarded as analogues to a result of Bennett concerning weighted Carleman's inequalities.
This paper explores hypothesis testing for the parametric forms of the mean and variance functions in regression models under diverging-dimension settings. To mitigate the curse of dimensionality, we introduce weighted residual empirical…
The paper introduces a new estimation method for the standard linear regression model. The procedure is not driven by the optimisation of any objective function rather, it is a simple weighted average of slopes from observation pairs. The…