Indefinitely oscillating martingales

Abstract

We construct a class of nonnegative martingale processes that oscillate indefinitely with high probability. For these processes, we state a uniform rate of the number of oscillations for a given magnitude and show that this rate is asymptotically close to the theoretical upper bound. These bounds on probability and expectation of the number of upcrossings are compared to classical bounds from the martingale literature. We discuss two applications. First, our results imply that the limit of the minimum description length operator may not exist. Second, we give bounds on how often one can change one’s belief in a given hypothesis when observing a stream of data.