Moment and probability inequalities for sums of bounded additive functionals of regular Markov chains via the Nummelin splitting technique

DOI10.1016/S0167-7152(00)00236-4MaRDI QIDQ1612928zbMATH OpenFDO

Authors S. J. M. Clémençon

Publication date 5 September 2002

Published in Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

Markov chainNummelin splitting techniqueExponential probability inequalityMoment inequality

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Continuous-time Markov processes on discrete state spaces (60J27)

Cites work

• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 3504209 (Why is no real title available?)
• General Irreducible Markov Chains and Non-Negative Operators
• Markov chains and stochastic stability
• On the subspaces of \(L^p\) \((p > 2)\) spanned by sequences of independent random variables
• Probability Inequalities for Sums of Bounded Random Variables
• Probability Inequalities for Sums of Independent Random Variables
• Probability Inequalities for the Sum of Independent Random Variables

Cited in

(18)

• Regeneration-based statistics for Harris recurrent Markov chains
• Bounds on regeneration times and limit theorems for subgeometric Markov chains
• Wavelet estimation in diffusions with periodicity
• Probability and moment inequalities for additive functionals of geometrically ergodic Markov chains
• Exponential concentration inequalities for additive functionals of Markov chains
• Regenerative block-bootstrap for Markov chains
• New Bernstein and Hoeffding type inequalities for regenerative Markov chains
• Orlicz Integrability of Additive Functionals of Harris Ergodic Markov Chains
• General Bernstein-like inequality for additive functionals of Markov chains
• Extreme values statistics for Markov chains via the (pseudo-) regenerative method
• Bootstrapping robust statistics for Markovian data applications to regenerative \(R\)-statistics and \(L\)-statistics
• A renewal approach to Markovian \(U\)-statistics
• Second-order properties of regeneration-based bootstrap for atomic Markov chains
• Edgeworth expansions of suitably normalized sample mean statistics for atomic Markov chains
• Polynomial bounds in the Ergodic theorem for one-dimensional diffusions and integrability of hitting times
• Nonasymptotic bounds on the estimation error of MCMC algorithms
• Adaptive invariant density estimation for continuous-time mixing Markov processes under sup-norm risk
• Rigorous confidence bounds for MCMC under a geometric drift condition

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