Exponential concentration inequalities for additive functionals of Markov chains
From MaRDI portal
Abstract: Using the renewal approach we prove exponential inequalities for additive functionals and empirical processes of ergodic Markov chains, thus obtaining counterparts of inequalities for sums of independent random variables. The inequalities do not require functions of the chain to be bounded and moreover all the involved constants are given by explicit formulas whenever the usual drift condition holds, which may be of interest in practical applications e.g. to MCMC algorithms.
Recommendations
- Exponential inequalities for unbounded functions of geometrically ergodic Markov chains: applications to quantitative error bounds for regenerative Metropolis algorithms
- General Bernstein-like inequality for additive functionals of Markov chains
- New Bernstein and Hoeffding type inequalities for regenerative Markov chains
- Subgaussian concentration inequalities for geometrically ergodic Markov chains
- Concentration inequalities for additive functionals: a martingale approach
Cites work
- A Bernstein type inequality and moderate deviations for weakly dependent sequences
- A measure concentration inequality for contracting Markov chains
- A New Approach to the Limit Theory of Recurrent Markov Chains
- A splitting technique for Harris recurrent Markov chains
- A tail inequality for suprema of unbounded empirical processes with applications to Markov chains
- Absolutely regular empirical processes and universal entropy
- Bounds on regeneration times and limit theorems for subgeometric Markov chains
- Characterization of LIL behavior in Banach space
- Chernoff and Berry–Esséen inequalities for Markov processes
- Concentration around the mean for maxima of empirical processes
- Concentration inequalities for dependent random variables via the martingale method
- Concentration inequalities for Markov processes via coupling
- Concentration of measure inequalities for Markov chains and \(\Phi\)-mixing processes.
- Convergence of the Monte Carlo expectation maximization for curved exponential families.
- Deviation inequalities for sums of weakly dependent time series
- General Irreducible Markov Chains and Non-Negative Operators
- Geometric convergence and central limit theorems for multidimensional Hastings and Metropolis algorithms
- Geometric ergodicity and the spectral gap of non-reversible Markov chains
- Geometric ergodicity of Metropolis algorithms
- Gibbs sampling for a Bayesian hierarchical general linear model
- scientific article; zbMATH DE number 49190 (Why is no real title available?)
- scientific article; zbMATH DE number 3549898 (Why is no real title available?)
- scientific article; zbMATH DE number 2034517 (Why is no real title available?)
- scientific article; zbMATH DE number 2150787 (Why is no real title available?)
- Inégalités de Hoeffding pour les fonctions lipschitziennes de suites dépendantes
- Large deviation probabilities for random walks with semiexponential distributions
- Large deviations asymptotics and the spectral theory of multiplicatively regular Markov proces\-ses
- Limit theorems for functionals of ergodic Markov chains with general state space
- Markov chains and stochastic stability
- Moment and probability inequalities for sums of bounded additive functionals of regular Markov chains via the Nummelin splitting technique
- New concentration inequalities in product spaces
- Nonasymptotic bounds on the estimation error of MCMC algorithms
- Occupation measures for Markov chains
- Quantitative bounds on convergence of time-inhomogeneous Markov chains
- Rates of convergence of the Hastings and Metropolis algorithms
- Renewal theory and computable convergence rates for geometrically erdgodic Markov chains
- Spectral theory and limit theorems for geometrically ergodic Markov processes
- Sufficient burn-in for Gibbs samplers for a hierarchical random effects model.
- The Bernstein-Orlicz norm and deviation inequalities
- Uniform CLT for Markov chains and its invariance principle: A martingale approach
- Uniform limit theorems for Harris recurrent Markov chains
- Weak convergence and empirical processes. With applications to statistics
Cited in
(27)- On exponentials of additive functionals of Markov processes
- Concentration inequalities for additive functionals: a martingale approach
- General Bernstein-like inequality for additive functionals of Markov chains
- Hoeffding's inequality for Markov processes via solution of Poisson's equation
- Adaptive invariant density estimation for continuous-time mixing Markov processes under sup-norm risk
- Exponential inequalities for nonstationary Markov chains
- Statistical learning based on Markovian data maximal deviation inequalities and learning rates
- Orlicz Integrability of Additive Functionals of Harris Ergodic Markov Chains
- Adaptive confidence bands for Markov chains and diffusions: estimating the invariant measure and the drift
- scientific article; zbMATH DE number 4203408 (Why is no real title available?)
- Problem solving is often a matter of cooking up an appropriate Markov chain
- New Bernstein and Hoeffding type inequalities for regenerative Markov chains
- On the exponential functional of Markov Additive Processes, and applications to multi-type self-similar fragmentation processes and trees
- Hoeffding's inequality for general Markov chains and its applications to statistical learning
- Uniform Chernoff and Dvoretzky-Kiefer-Wolfowitz-type inequalities for Markov chains and related processes
- Exponential inequalities for unbounded functions of geometrically ergodic Markov chains: applications to quantitative error bounds for regenerative Metropolis algorithms
- The moments of exponential of stochastic functional for Markov chains on general state spaces
- Complexity results for MCMC derived from quantitative bounds
- A martingale minimax exponential inequality for Markov chains
- Hoeffding's inequality for non-irreducible Markov models
- Probability and moment inequalities for additive functionals of geometrically ergodic Markov chains
- Subexponential concentration inequalities for bifurcating Markov chains
- Hoeffding's inequality for continuous-time Markov chains via the spectral gap
- Concentration inequalities for sums of Markov-dependent random matrices
- High-dimensional latent Gaussian count time series: concentration results for autocovariances and applications
- Bernstein's inequalities for general Markov chains
- Subgaussian concentration inequalities for geometrically ergodic Markov chains
This page was built for publication: Exponential concentration inequalities for additive functionals of Markov chains
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2786488)
