| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1153956 | Statistics & Probability Letters | 2008 | 5 Pages |
Abstract
New maximal inequalities for non-negative martingales are proved. The inequalities are tight and strengthen well-known maximal inequalities by Doob. The inequalities relate martingales to information divergence and imply convergence of XlnXXlnX bounded martingales. Similar results hold for stationary sequences.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Peter Harremoës,