A note on concentration inequalities for the overlapped batch mean variance estimators for Markov chains

Eric Moulines; Alexey Naumov; Sergey Samsonov

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arXiv · 2505.08456

A note on concentration inequalities for the overlapped batch mean variance estimators for Markov chains

Eric Moulines·Alexey Naumov·Sergey Samsonov

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Abstract

In this paper, we study the concentration properties of quadratic forms associated with Markov chains using the martingale decomposition method introduced by Atchad\'e and Cattaneo (2014). In particular, we derive concentration inequalities for the overlapped batch mean (OBM) estimators of the asymptotic variance for uniformly geometrically ergodic Markov chains. Our main result provides an explicit control of the $p$-th moment of the difference between the OBM estimator and the asymptotic variance of the Markov chain with explicit dependence upon $p$ and mixing time of the underlying Markov chain.

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Eric Moulines, Alexey Naumov, Sergey Samsonov. 2025-05-13. A note on concentration inequalities for the overlapped batch mean variance estimators for Markov chains. https://arxiv.org/abs/2505.08456

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