An Inequality for Vector-Valued Martingales and Its Applications
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.
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|Date of creation:||1996|
|Contact details of provider:|| Postal: MASSACHUSETTS INSTITUTE OF TECHNOLOGY (MIT), DEPARTMENT OF ECONOMICS, 50 MEMORIAL DRIVE CAMBRIDGE MASSACHUSETTS 02142 USA|
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