A simple variance inequality for U-statistics of a Markov chain with applications
Statistics Theory
2013-03-05 v1 Statistics Theory
Abstract
We establish a simple variance inequality for U-statistics whose underlying sequence of random variables is an ergodic Markov Chain. The constants in this inequality are explicit and depend on computable bounds on the mixing rate of the Markov Chain. We apply this result to derive the strong law of large number for U-statistics of a Markov Chain under conditions which are close from being optimal.
Keywords
Cite
@article{arxiv.1107.2576,
title = {A simple variance inequality for U-statistics of a Markov chain with applications},
author = {Gersende Fort and Eric Moulines and Pierre Priouret and Pierre Vandekerkhove},
journal= {arXiv preprint arXiv:1107.2576},
year = {2013}
}