Subgaussian concentration inequalities for geometrically ergodic Markov chains
Probability
2015-07-22 v2
Abstract
We prove that an irreducible aperiodic Markov chain is geometrically ergodic if and only if any separately bounded functional of the stationary chain satisfies an appropriate subgaussian deviation inequality from its mean.
Keywords
Cite
@article{arxiv.1412.1794,
title = {Subgaussian concentration inequalities for geometrically ergodic Markov chains},
author = {Jérôme Dedecker and Sébastien Gouëzel},
journal= {arXiv preprint arXiv:1412.1794},
year = {2015}
}