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Sharp probability estimates for generalized Smirnov statistics

✍ Scribed by Kevin Ford


Publisher
Springer Vienna
Year
2008
Tongue
English
Weight
113 KB
Volume
153
Category
Article
ISSN
0026-9255

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πŸ“œ SIMILAR VOLUMES


Deviation probability bound for martinga
✍ R. Liptser; V. Spokoiny πŸ“‚ Article πŸ“… 2000 πŸ› Elsevier Science 🌐 English βš– 132 KB

Let Mt be a vector martingale and M t denote its predictable quadratic variation. In this paper we present a bound for the probability that z \* M -1 t Mt ΒΏ z \* M -1 t z with a ΓΏxed vector z and discuss some of its applications to statistical estimation in autoregressive and linear di usion models.