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

Błażej Miasojedow

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arXiv · 1201.2265

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

Błażej Miasojedow

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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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Błażej Miasojedow. 2013-06-13. Hoeffding's inequalities for geometrically ergodic Markov chains on general state space. https://arxiv.org/abs/1201.2265

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