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

DOI10.1016/J.SPL.2014.01.013zbMATH Open1297.60047arXiv1201.2265OpenAlexW2036185487MaRDI QIDQ2452883FDOQ2452883

Authors: Błażej Miasojedow 

Publication date: 5 June 2014

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

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 $f$.

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

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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)

Cites Work

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

Cited In (15)

• Title not available (Why is that?)
• Geometric ergodicity for some space-time max-stable Markov chains
• On Hoeffding and Bernstein type inequalities for sums of random variables in non-additive measure spaces and complete convergence
• A quantitative McDiarmid's inequality for geometrically ergodic Markov chains
• Title not available (Why is that?)
• Berry–Esséen theorem for sample quantiles of asymptotically uncorrelated non reversible Markov chains
• Hoeffding's inequality for uniformly ergodic Markov chains
• Hoeffding's inequality for non-irreducible Markov models
• Adaptive Huber regression on Markov-dependent data
• Transport-information inequalities for Markov chains
• Hoeffding's inequality for Markov processes via solution of Poisson's equation
• Hypothesis testing for Markov chain Monte Carlo
• Geometric inequalities for the eigenvalues of concentrated Markov chains
• Learning from non-irreducible Markov chains
• Optimal Hoeffding bounds for discrete reversible Markov chains.

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