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

See all articles by Jushan Bai

Jushan Bai

New York University (NYU) - Department of Economics

Date Written: June 1996

Abstract

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

Bai, Jushan, An Inequality for Vector-Valued Martingales and its Applications (June 1996). Massachusetts Institute of Technology, Department of Economics Working Paper No. 96-16, Available at SSRN: https://ssrn.com/abstract=139538

Jushan Bai (Contact Author)

New York University (NYU) - Department of Economics ( email )

269 Mercer Street, 7th Floor
New York, NY 10003
United States

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