New Bernstein and Hoeffding type inequalities for regenerative Markov chains

MaRDI QIDQ4623161zbMATH OpenFDO

Authors Patrice Bertail, Gabriela Ciołek

Publication date 14 February 2019

Full work available at URL http://alea.impa.br/articles/v16/16-09.pdf

zbMATH Keywords

Bernsteinempirical processes indexed by classes of functionsexponential inequalitiesHoeffding type inequalitiesregenerative Markov chainuniform entropy

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Nonparametric statistical resampling methods (62G09) Asymptotic properties of nonparametric inference (62G20) Order statistics; empirical distribution functions (62G30)

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Cites work

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• Bernstein-type concentration inequalities for symmetric Markov processes
• Chernoff and Berry–Esséen inequalities for Markov processes
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• Concentration inequalities for Markov processes via coupling
• Concentration inequalities. A nonasymptotic theory of independence
• Exponential concentration inequalities for additive functionals of Markov chains
• Exponential inequalities for unbounded functions of geometrically ergodic Markov chains: applications to quantitative error bounds for regenerative Metropolis algorithms
• Geometric ergodicity and the spectral gap of non-reversible Markov chains
• Hoeffding's inequality for uniformly ergodic Markov chains
• scientific article; zbMATH DE number 772918 (Why is no real title available?)
• Learning from uniformly ergodic Markov chains
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• Weak convergence and empirical processes. With applications to statistics

Cited in

(8)

• A tail inequality for suprema of unbounded empirical processes with applications to Markov chains
• General Bernstein-like inequality for additive functionals of Markov chains
• Adaptive invariant density estimation for continuous-time mixing Markov processes under sup-norm risk
• Concentration inequalities for non-causal random fields
• Exponential inequalities for nonstationary Markov chains
• Statistical learning based on Markovian data maximal deviation inequalities and learning rates
• Exponential concentration inequalities for additive functionals of Markov chains
• A martingale minimax exponential inequality for Markov chains

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