Hoeffding's inequalities for geometrically ergodic Markov chains on general state space

DOI10.1016/J.SPL.2014.01.013zbMATH Open1297.60047OpenAlexW2036185487MaRDI QIDQ2452883FDOQ2452883

Authors Błażej Miasojedow

Publication date 5 June 2014

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

Full work available at URL https://arxiv.org/abs/1201.2265

zbMATH Keywords

Markov chainsspectral gapgeometric ergodicityHoeffding's inequality

Mathematics Subject Classification ID

Bayesian inference (62F15) Monte Carlo methods (65C05) Discrete-time Markov processes on general state spaces (60J05)

Abstract: We consider Markov chain with spectral gap in $L^2$ space. Assume that $f$ is a bounded function. Then the probabilities of large deviations of average along trajectory satisfy Hoeffding's-type inequalities. These bounds depend only on the stationary mean, spectral gap and the end-points of support of $f$.

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Cites work

• Chernoff-type bound for finite Markov chains
• Geometric ergodicity and hybrid Markov chains
• Geometric ergodicity and the spectral gap of non-reversible Markov chains
• Hoeffding's inequality for uniformly ergodic Markov chains
• Optimal Hoeffding bounds for discrete reversible Markov chains.
• Variance bounding Markov chains

Cited in

(16)

• Geometric inequalities for the eigenvalues of concentrated Markov chains
• scientific article; zbMATH DE number 7415082 (Why is no real title available?)
• Hypothesis testing for Markov chain Monte Carlo
• Optimal Hoeffding bounds for discrete reversible Markov chains.
• Hoeffding's inequality for non-irreducible Markov models
• Geometric ergodicity for some space-time max-stable Markov chains
• A Hoeffding inequality for Markov chains
• Transport-information inequalities for Markov chains
• Berry–Esséen theorem for sample quantiles of asymptotically uncorrelated non reversible Markov chains
• A quantitative McDiarmid's inequality for geometrically ergodic Markov chains
• Sparse estimation in Ising model via penalized Monte Carlo methods
• On Hoeffding and Bernstein type inequalities for sums of random variables in non-additive measure spaces and complete convergence
• Adaptive Huber regression on Markov-dependent data
• Learning from non-irreducible Markov chains
• Hoeffding's inequality for uniformly ergodic Markov chains
• Hoeffding's inequality for Markov processes via solution of Poisson's equation

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