Informational Confidence Bounds for Self-Normalized Averages and Applications

Context: 
Seville (Spain)
Resume: 

We present deviation bounds for self-normalized averages and applications to estimation with a random number of observations.
The results rely on a peeling argument in exponential martingale techniques that represents an alternative to the method of mixture.
The motivating examples of bandit problems and context tree estimation are detailed.

Date: 
September, 2013