{"title":"Martingales and information divergence","authors":"P. Harremoës","doi":"10.1109/ISIT.2005.1523315","DOIUrl":null,"url":null,"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","PeriodicalId":92224,"journal":{"name":"International Symposium on Information Theory and its Applications. International Symposium on Information Theory and its Applications","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2005-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Symposium on Information Theory and its Applications. International Symposium on Information Theory and its Applications","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/ISIT.2005.1523315","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 2
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
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