Finite-length analysis on tail probability for Markov chain and application to simple hypothesis testing

DOI10.1214/16-AAP1216zbMATH Open1368.62235arXiv1401.3801OpenAlexW2963828408MaRDI QIDQ2013570FDOQ2013570

Authors: Shun Watanabe, Masahito Hayashi 

Publication date: 8 August 2017

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Abstract: Using terminologies of information geometry, we derive upper and lower bounds of the tail probability of the sample mean. Employing these bounds, we obtain upper and lower bounds of the minimum error probability of the 2nd kind of error under the exponential constraint for the error probability of the 1st kind of error in a simple hypothesis testing for a finite-length Markov chain, which yields the Hoeffding type bound. For these derivations, we derive upper and lower bounds of cumulant generating function for Markov chain. As a byproduct, we obtain another simple proof of central limit theorem for Markov chain.

Full work available at URL: https://arxiv.org/abs/1401.3801

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zbMATH Keywords

tail probabilityrelative entropyinformation geometry[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=relative+R%EF%BF%BD%EF%BF%BDnyi+entropy&go=Go relative R��nyi entropy]finite-length Markov chainsimple hypothesis testing

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Markov processes: hypothesis testing (62M02)

Cited In (10)

• Information geometry of reversible Markov chains
• Second-order asymptotics for quantum hypothesis testing in settings beyond i.i.d.—quantum lattice systems and more
• Asymptotic properties for Markovian dynamics in quantum theory and general probabilistic theories
• Information geometry approach to parameter estimation in Markov chains
• Information geometry approach to parameter estimation in hidden Markov model
• Asymptotic and non-asymptotic analysis for a hidden Markovian process with a quantum hidden system
• Transport-information inequalities for Markov chains
• Long-term concentration of measure and cut-off
• Function-specific mixing times and concentration away from equilibrium
• Local equivalence problem in hidden Markov model

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