A quantitative Mc Diarmid's inequality for geometrically ergodic Markov chains
Statistics Theory
2019-07-08 v1 Probability
Statistics Theory
Abstract
We state and prove a quantitative version of the bounded difference inequality for geometrically ergodic Markov chains. Our proof uses the same martingale decomposition as \cite{MR3407208} but, compared to this paper, the exact coupling argument is modified to fill a gap between the strongly aperiodic case and the general aperiodic case.
Keywords
Cite
@article{arxiv.1907.02809,
title = {A quantitative Mc Diarmid's inequality for geometrically ergodic Markov chains},
author = {Antoine Havet and Matthieu Lerasle and Eric Moulines and Elodie Vernet},
journal= {arXiv preprint arXiv:1907.02809},
year = {2019}
}