Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7549008 | Statistics & Probability Letters | 2016 | 4 Pages |
Abstract
Let {Yi}i=1n be a martingale difference sequence and Sn=âi=1nYi. Probability deviation bounds for martingale difference sequences generally focus on upper bounds for probabilities of large deviations P(Sn>λ), particularly of maxima of Sn. In this article bounds for probabilities of moderate deviations P(Sn<λ) are studied. The motivation is estimating the probability that the cumulative drift of a Markov chain is moderate, and thus estimates derived from sampling the chain are reliable.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Thomas R. Boucher,