Bernstein-type and Bennett-type inequalities for unbounded matrix martingales

Abstract: We derive explicit Bernstein-type and Bennett-type concentration inequalities for matrix-valued martingale processes with unbounded observations from the Hermitian space $\mathbb{H}(d)$. Specifically, we assume that the $\psi_{\alpha}$-Orlicz (quasi-)norms of their difference process are bounded for some $\alpha > 0$. Further, we generalize the obtained result by replacing the ambient dimension $d$ with the effective rank of the covariance of the observations. To illustrate the applicability of the results, we prove several corollaries, including an empirical version of Bernstein's inequality and an extension of the bounded difference inequality, also known as McDiarmid's inequality.