On Dobrushin's inequality (Q426716)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On Dobrushin's inequality |
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On Dobrushin's inequality (English)
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11 June 2012
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The lower and upper bounds of Dobrushin's inequality for the variance of sums of functions of a non-homogeneous Markov chain are established. The weak convergence of the sum to the Wiener measure and the Azuma-Hoeffding inequality are also discussed.
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non-homogeneous Markov chains
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coefficient of ergodicity
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martingale approximation
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weak invariance principle
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