A sharp inequality for martingales and its applications
In this paper, the best constant with respect to an inequality for martingales in Hall and Heyde (1980) is obtained. As a consequence, some large deviations with martingale difference and moving average process are established.
Volume (Year): 81 (2011)
Issue (Month): 8 (August)
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References listed on IDEAS
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- Ren, Yao-Feng & Liang, Han-Ying, 2001. "On the best constant in Marcinkiewicz-Zygmund inequality," Statistics & Probability Letters, Elsevier, vol. 53(3), pages 227-233, June.
- Li, Yulin, 2003. "A martingale inequality and large deviations," Statistics & Probability Letters, Elsevier, vol. 62(3), pages 317-321, April.
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