科研之友
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摘要
Let {Y-i}(i=1)(n) be a martingale difference sequence and S-n = Sigma(n)(i=1) Y-i. Probability deviation bounds for martingale difference sequences generally focus on upper bounds for probabilities of large deviations P(S-n > lambda), particularly of maxima of Sn. In this article bounds for probabilities of moderate deviations P(S-n < lambda) are studied. The motivation is estimating the probability that the cumulative drift of a Markov chain is moderate, and thus estimates derived from sampling the chain are reliable.
- 出版日期2016-4
