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arXiv · 1201.3569

Exponential Concentration Inequalities for Additive Functionals of Markov Chains

Radosław Adamczak·Witold Bednorz
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Abstract

Using the renewal approach we prove exponential inequalities for additive functionals and empirical processes of ergodic Markov chains, thus obtaining counterparts of inequalities for sums of independent random variables. The inequalities do not require functions of the chain to be bounded and moreover all the involved constants are given by explicit formulas whenever the usual drift condition holds, which may be of interest in practical applications e.g. to MCMC algorithms.

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Radosław Adamczak, Witold Bednorz. 2013-10-17. Exponential Concentration Inequalities for Additive Functionals of Markov Chains. https://arxiv.org/abs/1201.3569

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