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Statistical estimation with bounded memory

✍ Scribed by Leonid (Aryeh) Kontorovich


Book ID
113079872
Publisher
Springer US
Year
2011
Tongue
English
Weight
533 KB
Volume
22
Category
Article
ISSN
0960-3174

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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.