Tail estimates for martingale under "LLN" norming sequence
arXiv:1207.1908
Abstract
In this paper non-asymptotic exponential and moment estimates are derived for tail of distribution for discrete time martingale under norming sequence 1/n, as in the classical Law of Large Numbers (LLN), by means of martingale differences as a rule in the terms of unconditional moments and tails of distributions of summands. We show also the exactness of obtained estimations.
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