A new Poisson-type deviation inequality for Markov jump processes with positive Wasserstein curvature
Statistics Theory
2009-06-15 v1 Statistics Theory
Abstract
The purpose of this paper is to extend the investigation of Poisson-type deviation inequalities started by Joulin (Bernoulli 13 (2007) 782--798) to the empirical mean of positively curved Markov jump processes. In particular, our main result generalizes the tail estimates given by Lezaud (Ann. Appl. Probab. 8 (1998) 849--867, ESAIM Probab. Statist. 5 (2001) 183--201). An application to birth--death processes completes this work.
Keywords
Cite
@article{arxiv.0906.2280,
title = {A new Poisson-type deviation inequality for Markov jump processes with positive Wasserstein curvature},
author = {Aldéric Joulin},
journal= {arXiv preprint arXiv:0906.2280},
year = {2009}
}
Comments
Published in at http://dx.doi.org/10.3150/08-BEJ158 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)