Hoeffding's inequality for non-irreducible Markov models

2021/11/28 by Sandric, Nikola, Sebek, Stjepan
#60J05 #60J25 #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.2111.14233

Abstract

In this article, we establish Hoeffding's inequality for bounded Lipschitz functions of a class of not necessarily irreducible Markov models. The result complements the existing literature on this topic where Hoeffding's inequality for bounded measurable functions of a class of irreducible Markov models has been considered. Our approach is based on the assumption of uniform ergodicity of the underlying Markov model in L¹-Wasserstein space.

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