0
$\begingroup$

Let $M_n$ be a $\mathscr{F}_n=\sigma(\eta_m,\theta_m, m\leq n)$ measurable martingale difference sequence. Then is it possible to find a exponential tail bound for the following $$P(|M_{n+1}| > u|\mathscr{F}_n)$$

where $M_{n+1} = f(\theta_n, \eta_{n+1})-E[f(\theta_n, \eta_{n+1})|\mathcal{F}_n]$ and $\eta_n$ i.i,d

Improve this question
$\endgroup$
2
  • $\begingroup$ What do you mean by an exponential concentration inequality? And what is $\theta_n$? $\endgroup$
    – Iosif Pinelis
    Jan 7, 2016 at 20:17
  • $\begingroup$ @losif: I have made it elaborate. $\endgroup$
    – Sosha
    Jan 8, 2016 at 2:10

0

Reset to default

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Browse other questions tagged or ask your own question.