General Bernstein-like inequality for additive functionals of Markov chains

Michał Lemańczyk

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arXiv · 1811.09870

General Bernstein-like inequality for additive functionals of Markov chains

Michał Lemańczyk

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Abstract

Using the renewal approach we prove Bernstein-like inequalities for additive functionals of geometrically ergodic Markov chains, thus obtaining counterparts of inequalities for sums of independent random variables. The coefficient in the sub-Gaussian part of our estimate is the asymptotic variance of the additive functional, i.e. the variance of the limiting Gaussian variable in the Central Limit Theorem for Markov chains. This refines earlier results by R. Adamczak and W. Bednorz, which were obtained under the additional assumption of strong aperiodicity of the chain.

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Michał Lemańczyk. 2018-11-24. General Bernstein-like inequality for additive functionals of Markov chains. https://arxiv.org/abs/1811.09870

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