Quantization and martingale couplings
نویسندگان
چکیده
منابع مشابه
Martingale Couplings and Bounds on Tails of Probability Distributions
Wassily Hoeffding, in his 1963 paper, introduces a procedure to derive inequalities between distributions. This method relies on finding a martingale coupling between the two random variables. I have developed a construction that establishes such couplings in various urn models. I use this construction to prove the inequality between the hypergeometric and binomial random variables that appears...
متن کاملMartingale Boosting
Martingale boosting is a simple and easily understood technique with a simple and easily understood analysis. A slight variant of the approach provably achieves optimal accuracy in the presence of misclassification noise.
متن کاملMartingale Transforms and Related Singular
The operators obtained by taking conditional expectation of continuous time martingale transforms are studied, both on the circle T and on R". Using a Burkholder-Gundy inequality for vector-valued martingales, it is shown that the vector formed by any number of these operators is bounded on LP(R"), 1 < p < oo, with constants that depend only on p and the norms of the matrices involved. As a cor...
متن کاملMartingale unobserved component models
I discuss models which allow the local level model, which rationalised exponentially weighted moving averages, to have a time-varying signal/noise ratio. I call this a martingale component model. This makes the rate of discounting of data local. I show how to handle such models effectively using an auxiliary particle filter which deploys M Kalman filters run in parallel competing against one an...
متن کاملAn Exponential Martingale Equation
We prove an existence of a unique solution of an exponential martingale equation in the class of BMO martingales. The solution is used to characterize optimal martingale measures.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: ALEA-Latin American Journal of Probability and Mathematical Statistics
سال: 2022
ISSN: ['1980-0436']
DOI: https://doi.org/10.30757/alea.v19-01