Moment bounds for vector martingale quadratic forms without the convergence assumption

Let (εn)(\varepsilon_n) be a martingale difference sequence satisfying the homogeneity condition

E[εn+12Fn]=σ2a.s.\mathbb{E}[\varepsilon_{n+1}^2\mid \mathcal{F}_n]=\sigma^2 \quad \text{a.s.}

and assumption (Hp)(H_p) introduced in the preceding theorem, for some integer p1p\geq 1. Define fkf_k, MkM_k, Sk1S_{k-1}, SkS_k, and dnd_n as in that theorem. Moment-bound conjecture. Almost surely,

k=1nfk(MktSk11Mk)p=O(logdn)\sum_{k=1}^{n}f_k\bigl(M_k^{t}S_{k-1}^{-1}M_k\bigr)^p=\mathcal{O}(\log d_n)

and

k=1n[(MktSk11Mk)p(MktSk1Mk)p]=O(logdn).\sum_{k=1}^{n}\left[\bigl(M_k^{t}S_{k-1}^{-1}M_k\bigr)^p-\bigl(M_k^{t}S_k^{-1}M_k\bigr)^p\right]=\mathcal{O}(\log d_n).

The conjecture would extend the paper's convergence estimates to the full vector problem without assuming the technical condition that all eigenvalues of SnS_n grow at the same rate. The statement is presented as unresolved in the source.

Sources & referencesView supporting material

Primary source

Bernard Bercu, Peggy Cénac and Guy Fayolle, “On the Almost Sure Central Limit Theorem for Vector Martingales: Convergence of Moments and Statistical Applications”, arXiv:0812.3528 (2008).

Progress summary

Never refreshed

Nothing recorded yet. Refresh searches the literature and the public web for attempts on this problem, and writes the first summary here.

Solutions 0

No solutions have been posted yet.