Related papers: Maximal inequalities and weighted BMO processes

In a general counting process setting, we consider the problem of obtaining a prognostic on the survival time adjusted on covariates in high-dimension. Towards this end, we construct an estimator of the whole conditional intensity. We…

In this paper we estimate the rest of the approximation of a stationary process by a martingale in terms of the projections of partial sums. Then, based on this estimate, we obtain almost sure approximation of partial sums by a martingale…

A new loss function is proposed for neural networks on classification tasks which extends the hinge loss by assigning gradients to its critical points. We will show that for a linear classifier on linearly separable data with fixed step…

We develop a novel Monte Carlo algorithm for the vector consisting of the supremum, the time at which the supremum is attained and the position at a given (constant) time of an exponentially tempered L\'evy process. The algorithm, based on…

The optimal function $f$ satisfying $$ \mathbb{E} |\sum_{1}^n X_i | \ge f(\mathrbb{E}|X_1|,...,\mathbb{E}|X_n|) $$ for every martingale $(X_1,X_1+X_2, ...,\sum_{i=1}^n X_i)$ is shown to be given by $$ f(a) = \max \Big\{a_k-\sum_{i=1}^{k-1}…

As an alternative to the well-known methods of "chaining" and "bracketing" that have been developed in the study of random fields, a new method, which is based on a {\em stochastic maximal inequality} derived by using the formula for…

We identify the linear space spanned by the real-valued excessive functions of a Markov process with the set of those functions which are quasimartingales when we compose them with the process. Applications to semi-Dirichlet forms are…

In this paper, we obtain some exact $L_2$ Bernstein-Markov inequalities for generalized Hermite and Gegenbauer weight. More precisely, we determine the exact values of the extremal problem $$M_n^2(L_2(W_\lambda),{\rm D}):=\sup_{0\neq…

We consider $N$ Bernoulli random variables, which are independent conditional on a common random factor determining their probability distribution. We show that certain expected functionals of the proportion $L_N$ of variables in a given…

We give weighted norm inequalities for the maximal fractional operator $ \mathcal M_{q,\beta}$ of Hardy-Littlewood and the fractional integral $I_{\gamma}$. These inequalities are established between $(L^{q},L^{p}) ^{\alpha}(X,d,\mu)$…

In this paper we investigate problems on almost everywhere convergence of subsequences of Riemann sums \md0 R_nf(x)=\frac{1}{n}\sum_{k=0}^{n-1}f\bigg(x+\frac{k}{n}\bigg),\quad x\in \ZT. \emd We establish a relevant connection between…

Using the renewal approach we prove exponential inequalities for additive functionals and empirical processes of ergodic Markov chains, thus obtaining counterparts of inequalities for sums of independent random variables. The inequalities…

We consider sequences of random variables of the type $S_n= n^{-1/2} \sum_{k=1}^n \{f(X_k)-\E[f(X_k)]\}$, $n\geq 1$, where $X=(X_k)_{k\in \Z}$ is a $d$-dimensional Gaussian process and $f: \R^d \rightarrow \R$ is a measurable function. It…

Let $\cF$ be a set of $M$ classification procedures with values in $[-1,1]$. Given a loss function, we want to construct a procedure which mimics at the best possible rate the best procedure in $\cF$. This fastest rate is called optimal…

In this paper, we investigate the functional central limit theorem for stochastic processes associated to partial sums of additive functionals of reversible Markov chains with general spate space, under the normalization standard deviation…

In this paper certain classes of infinite sums involving special functions are evaluated analytically by application of basic quantum mechanical principles to simple models of half harmonic oscillator and a particle trapped inside an…

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…

This paper presents uniform estimation and inference theory for a large class of nonparametric partitioning-based M-estimators. The main theoretical results include: (i) uniform consistency for convex and non-convex objective functions;…

We establish a law of large numbers for a certain class of vector-valued linear statistics for the Bergman determinantal point process on the unit disk. Our result seems to be the first LLN for vector-valued linear statistics in the setting…

For a multidimensional It\^o semimartingale, we consider the problem of estimating integrated volatility functionals. Jacod and Rosenbaum (2013) studied a plug-in type of estimator based on a Riemann sum approximation of the integrated…