Hoeffding's lemma for Markov Chains and its applications to statistical learning
Abstract
We extend Hoeffding's lemma to general-state-space and not necessarily reversible Markov chains. Let be a stationary Markov chain with invariant measure and absolute spectral gap , where is defined as the operator norm of the transition kernel acting on mean zero and square-integrable functions with respect to . Then, for any bounded functions , the sum of is sub-Gaussian with variance proxy . This result differs from the classical Hoeffding's lemma by a multiplicative coefficient of , and simplifies to the latter when . The counterpart of Hoeffding's inequality for Markov chains immediately follows. Our results assume none of countable state space, reversibility and time-homogeneity of Markov chains and cover time-dependent functions with various ranges. We illustrate the utility of these results by applying them to six problems in statistics and machine learning.
Cite
@article{arxiv.1802.00211,
title = {Hoeffding's lemma for Markov Chains and its applications to statistical learning},
author = {Jianqing Fan and Bai Jiang and Qiang Sun},
journal= {arXiv preprint arXiv:1802.00211},
year = {2018}
}