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Self-normalized processes arise naturally in many learning-related tasks.
Etude critique de la notion de collectif
Jean Ville · 1939
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Regularity properties of certain families of chance variables
Joseph L Doob · 1940
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Probability inequalities for the sum of independent random variables
George Bennett · 1962
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Probability inequalities for sums of bounded random variables
Wassily Hoeffding · 1963
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Weighted sums of certain dependent random variables
Kazuoki Azuma · 1967
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Iterated logarithm inequalities
DA Darling and Herbert Robbins · 1967
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Some further remarks on inequalities for sample sums
DA Darling and Herbert Robbins · 1968
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On tail probabilities for martingales
David A Freedman · 1975
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Consistency and asymptotic efficiency of slope estimates in stochastic approximation schemes
Tze Leung Lai and Herbert Robbins · 1981
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Least squares estimates in stochastic regression models with applications to identification and control of dynamic systems
Tze Leung Lai and Ching Zong Wei · 1982
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An approach to inequalities for the distributions of infinite-dimensional martingales
Iosif Pinelis · 1992
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Optimum bounds for the distributions of martingales in Banach paces
Iosif Pinelis · 1994
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Large deviations for martingales
D Blackwell · 1997
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The Analysis of Variance , volume 72
Henry Scheffe · 1999
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Strong converse for identification via quantum channels
Rudolf Ahlswede and Andreas Winter · 2002
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Self-normalized processes: exponential inequalities, moment bounds and iterated logarithm laws
Victor de la Peña, Michael J Klass, and Tze Leung Lai · 2004
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Structural Laplace transform and compound autoregressive models
Serge Darolles, Christian Gourieroux, and Joann Jasiak · 2006
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Pseudo-maximization and self-normalized processes
Victor de la Peña, Michael J Klass, and Tze Leung Lai · 2007
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Exponential inequalities for self-normalized martingales with applications
Bernard Bercu and Abderrahmen Touati · 2008
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Expansion properties of random Cayley graphs and vertex transitive graphs via matrix martingales
Demetres Christofides and Klas Markström · 2008
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Autoregressive conditional duration models in finance: a survey of the theoretical and empirical literature
Maria Pacurar · 2008
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Theoretical Statistics: Topics for a Core Course
Robert W Keener · 2010
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Freedman’s inequality for matrix martingales
Joel Tropp · 2011
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User-friendly tail bounds for sums of random matrices
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Online learning for linearly parametrized control problems
Yasin Abbasi-Yadkori · 2013
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Parameter-free online convex optimization with sub-exponential noise
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High-Dimensional Statistics: A Non-Asymptotic Viewpoint , volume 48
Martin J Wainwright · 2019
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Time Series Analysis
James D Hamilton · 2020
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Time-uniform Chernoff bounds via nonnegative supermartingales
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Bandit Algorithms
Tor Lattimore and Csaba Szepesvári · 2020
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Stéphane Boucheron, Gábor Lugosi, and Pascal Massart · 2013
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Extremum problems with inequalities as subsidiary conditions
Fritz John · 2014
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Self-normalization for time series: a review of recent developments
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