A note on concentration inequality for vector-valued martingales with weak exponential-type tails

6 Sep 2018 Chris Junchi Li

We present novel martingale concentration inequalities for martingale differences with finite Orlicz-$\psi_\alpha$ norms. Such martingale differences with weak exponential-type tails scatters in many statistical applications and can be heavier than sub-exponential distributions... (read more)

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