Bounds for tail probabilities of martingales using skewness and kurtosis-Reference-Cited by-同舟云学术

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Bounds for tail probabilities of martingales using skewness and kurtosis

Published:2008-01 Issue:1 Volume:48 Page:30-37
ISSN:0363-1672
Container-title:Lithuanian Mathematical Journal
language:en
Short-container-title:Lith Math J

Author:

Bentkus V.,Juškevičius T.

Publisher

Springer Science and Business Media LLC

Subject

General Mathematics

Link

http://link.springer.com/content/pdf/10.1007/s10986-008-0003-8.pdf

Reference25 articles.

1. V. Bentkus, An inequality for large deviation probabilities of sums of bounded i.i.d. random variables, Lith. Math. J., 41(2):112–119, 2001.

2. V. Bentkus, An inequality for tail probabilities of martingales with bounded differences, Lith. Math. J., 42(3):255–261, 2002.

3. V. Bentkus, A remark on the inequalities of Bernstein, Prokhorov, Bennett, Hoeffding, and Talagrand, Lith. Math. J., 42(3):262–269, 2002.

4. V. Bentkus, An inequality for tail probabilities of martingales with differences bounded from one side, J. Theor. Probab., 16(1):161–173, 2003.

5. V. Bentkus, On Hoeffding’s inequalities, Ann. Probab., 158(2):1650–1673, 2004.

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1. An Engineered Empirical Bernstein Bound;Machine Learning and Knowledge Discovery in Databases;2020

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3. Optimal two-value zero-mean disintegration of zero-mean random variables;Electronic Journal of Probability;2009-01-01

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