Loading [a11y]/accessibility-menu.js
Martingales and information divergence | IEEE Conference Publication | IEEE Xplore

Martingales and information divergence


Abstract:

A new maximal inequality for non-negative martingales is proved. It strengthens a well-known maximal inequality by Doob, and it is demonstrated that the stated inequality...Show More

Abstract:

A new maximal inequality for non-negative martingales is proved. It strengthens a well-known maximal inequality by Doob, and it is demonstrated that the stated inequality is tight. The inequality emphasizes the relation between martingales and information divergence. It implies pointwise convergence of X log X bounded martingales. A similar inequality holds for ergodic sequences. Relations to the Shannon-McMillan-Breiman theorem and Markov chains are mentioned
Date of Conference: 04-09 September 2005
Date Added to IEEE Xplore: 31 October 2005
Print ISBN:0-7803-9151-9

ISSN Information:

Conference Location: Adelaide, SA, Australia

References

References is not available for this document.