An Inequality for Vector-Valued Martingales and its Applications
Massachusetts Institute of Technology, Department of Economics Working Paper No. 96-16
Posted: 3 Dec 1998
Date Written: June 1996
In this paper, we derive a general Hajek-Renyi type inequality for vector-valued margingales. Several well-known inequalities are shown to be special cases of this general inequality. We also derive a similar inequality for dependent sequences. We then apply the inequality to the problem of strong consistency of least-squares estimators for multiple regressions.
JEL Classification: C10, C40
Suggested Citation: Suggested Citation