Exponential line-crossing inequalities
April 3, 2019 (GHC 8102)

This talk will present a class of exponential bounds for the probability that a martingale sequence crosses a time-dependent linear threshold. Our key insight is that it is both natural and fruitful to formulate exponential concentration inequalities in this way. We will illustrate this point by presenting a single assumption and a single theorem that together strengthen many tail bounds for martingales, including classical inequalities (1960-80) by Bernstein, Bennett, Hoeffding, and Freedman; contemporary inequalities (1980-2000) by Shorack and Wellner, Pinelis, Blackwell, van de Geer, and de la Pena; and several modern inequalities (post-2000) by Khan, Tropp, Bercu and Touati, Delyon, and others. In each of these cases, we give the strongest and most general statements to date, quantifying the time-uniform concentration of scalar, matrix, and Banach-space-valued martingales, under a variety of nonparametric assumptions in discrete and continuous time. In doing so, we bridge the gap between existing line-crossing inequalities, the sequential probability ratio test, the Cramer-Chernoff method, self-normalized processes, and other parts of the literature.

(joint work with Steve Howard, Jas Sekhon and Jon McAuliffe, preprint https://arxiv.org/abs/1808.03204)