Hoeffding's inequalities for geometrically ergodic Markov chains on general state space

2012/01/11 by Miasojedow, Błażej · 1 citation
#60J05 #FOS: Mathematics #G.3 #Probability (math.PR)

paper · doi:10.48550/arxiv.1201.2265

Abstract

We consider Markov chain with spectral gap in L² space. Assume that f 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 f.

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• Robust estimation of a Markov chain transition matrix from multiple sample paths

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