An Inequality for Vector-Valued Martingales and Its Applications
An Inequality for Vector-Valued Martingales and Its Applications
复制标题
向量值鞅不等式及其应用
DOI：
--
复制
发表时间：
1996
期刊：
影响因子：
--
通讯作者：
Jushan Bai
中科院分区：
文献类型：
--
作者：
Jushan Bai
本文给出了向量值鞅的一个广义Hajek-Renyi型不等式。几个著名的不等式被证明是这个一般不等式的特殊情况。对于相依序列，我们也得到了一个类似的不等式。然后，我们将不等式的问题的强一致性的最小二乘估计的多元回归。
In this paper, we derive a general Hajek-Renyi type inequality for vector-valued martingales. Several well known inequalities are shown to be special cases of this general inequality. We also derive a similar inequality for dependent sequences. We then apply the inequality to the problem of strong consistency of least squares estimators for multiple regressions.