Deviation inequalities for separately Lipschitz functionals of composition of random functions

DOI10.1016/J.JMAA.2019.07.011zbMATH Open1479.60041arXiv1907.01758OpenAlexW2963383547WikidataQ127592683 ScholiaQ127592683MaRDI QIDQ2320152FDOQ2320152

Authors: Paul Doukhan, Xiequan Fan, Jérôme Dedecker 

Publication date: 21 August 2019

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Abstract: We consider a class of non-homogeneous Markov chains, that contains many natural examples. Next, using martingale methods, we establish some deviation and moment inequalities for separately Lipschitz functions of such a chain, under moment conditions on some dominating random variables.

Full work available at URL: https://arxiv.org/abs/1907.01758

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zbMATH Keywords

martingalesexponential inequalitiesmoment inequalitiesnon-homogeneous Markov chains

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inequalities; stochastic orderings (60E15) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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Cited In (5)

• Deviation inequalities for a supercritical branching process in a random environment
• Concentration inequalities for non-causal random fields
• High-dimensional VAR with low-rank transition
• Deviation inequalities for separately Lipschitz functionals of iterated random functions
• Deviation inequalities for stochastic approximation by averaging

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