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

DOI10.1016/J.SPL.2014.01.013MaRDI QIDQ2452883zbMATH OpenOpenAlexFDO

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

geometric ergodicityHoeffding's inequalityMarkov chainsspectral gap

Mathematics Subject Classification ID

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

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
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• 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

(23)

• Hoeffding's inequality for uniformly ergodic Markov chains
• Geometric ergodicity for some space-time max-stable Markov chains
• Optimal Hoeffding bounds for discrete reversible Markov chains.
• Hoeffding's inequality for Markov processes via solution of Poisson's equation
• Adaptive Huber regression on Markov-dependent data
• A quantitative McDiarmid's inequality for geometrically ergodic Markov chains
• A Hoeffding inequality for Markov chains
• Transport-information inequalities for Markov chains
• Learning from non-irreducible Markov chains
• Hypothesis testing for Markov chain Monte Carlo
• Geometric inequalities for the eigenvalues of concentrated Markov chains
• Sparse estimation in Ising model via penalized Monte Carlo methods
• Berry–Esséen theorem for sample quantiles of asymptotically uncorrelated non reversible Markov chains
• Hoeffding's inequality for general Markov chains and its applications to statistical learning
• On Hoeffding and Bernstein type inequalities for sums of random variables in non-additive measure spaces and complete convergence
• Hoeffding's inequality for non-irreducible Markov models
• Almost sure convergence rates of adaptive increasingly rare Markov chain Monte Carlo
• Non-asymptotic estimates for Markov transition matrices via spectral gap methods
• Hoeffding's inequality for continuous-time Markov chains via the spectral gap
• Solidarity of Gibbs samplers: the spectral gap
• Concentration inequalities for sums of Markov-dependent random matrices
• Robust estimation of a Markov chain transition matrix from multiple sample paths
• Bernstein's inequalities for general Markov chains

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