Rosenthal-type inequalities for linear statistics of Markov chains

Authors Alain Durmus, Eric Moulines, Alexey Naumov, S. P. Samsonov, Marina Sheshukova

Publication date 10 March 2023

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Numerical analysis or methods applied to Markov chains (65C40) Inequalities; stochastic orderings (60E15)

Abstract: In this paper, we establish novel deviation bounds for additive functionals of geometrically ergodic Markov chains similar to Rosenthal and Bernstein inequalities for sums of independent random variables. We pay special attention to the dependence of our bounds on the mixing time of the corresponding chain. More precisely, we establish explicit bounds that are linked to the constants from the martingale version of the Rosenthal inequality, as well as the constants that characterize the mixing properties of the underlying Markov kernel. Finally, our proof technique is, up to our knowledge, new and based on a recurrent application of the Poisson decomposition.

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