Hoeffding's inequality for non-irreducible Markov models

Nikola Sandric; Stjepan Sebek

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arXiv · 2111.14233

Hoeffding's inequality for non-irreducible Markov models

Nikola Sandric·Stjepan Sebek

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Abstract

In this article, we establish Hoeffding's inequality for bounded Lipschitz functions of a class of not necessarily irreducible Markov models. The result complements the existing literature on this topic where Hoeffding's inequality for bounded measurable functions of a class of irreducible Markov models has been considered. Our approach is based on the assumption of uniform ergodicity of the underlying Markov model in $L^1$-Wasserstein space.

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Nikola Sandric, Stjepan Sebek. 2021-11-28. Hoeffding's inequality for non-irreducible Markov models. https://arxiv.org/abs/2111.14233

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