@article{ECP1490,
author = {Victor de la Peña and Guodong Pang},
title = {Exponential inequalities for self-normalized processes with applications},
journal = {Electron. Commun. Probab.},
fjournal = {Electronic Communications in Probability},
volume = {14},
year = {2009},
keywords = {self-normalization, exponential inequalities, martingales, hypothesis testing, stochastic Traveling Salesman Problem},
abstract = {We prove the following exponential inequality for a pair of random variables $(A,B)$ with $B >0$ satisfying the canonical assumption, $E[\exp(\lambda A - \frac{\lambda^2}{2} B^2)]\leq 1$ for $\lambda \in R$, $$P\left( \frac{|A|}{\sqrt{ \frac{2q-1}{q} \left(B^2+ (E[|A|^p])^{2/p} \right) }} \geq x \right) \leq \left(\frac{q}{2q-1} \right)^{\frac{q}{2q-1}} x^{-\frac{q}{2q-1}} e^{-x^2/2} $$ for $x>0$, where $1/p+ 1/q =1$ and $p\geq1$. Applying this inequality, we obtain exponential bounds for the tail probabilities for self-normalized martingale difference sequences. We propose a method of hypothesis testing for the $L^p$-norm $(p \geq 1)$ of $A$ (in particular, martingales) and some stopping times. We apply this inequality to the stochastic TSP in $[0,1]^d$ ($d\geq 2$), connected to the CLT.},
pages = {no. 37, 372-381},
issn = {1083-589X},
doi = {10.1214/ECP.v14-1490},
url = {http://ecp.ejpecp.org/article/view/1490}}