Hoeffding's inequalities for geometrically ergodic Markov chains on general state space
Probability
2013-06-14 v2
Abstract
We consider Markov chain with spectral gap in space. Assume that is a bounded function. Then the probabilities of large deviations of average along trajectory satisfy Hoeffding's-type inequalities. These bounds depend only on the stationary mean, spectral gap and the end-points of support of .
Keywords
Cite
@article{arxiv.1201.2265,
title = {Hoeffding's inequalities for geometrically ergodic Markov chains on general state space},
author = {Błażej Miasojedow},
journal= {arXiv preprint arXiv:1201.2265},
year = {2013}
}