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

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

2012-01-11

arxiv.org/abs/1201.2265v1

Mathematics

Probability

Scientific paper

We consider Markov chain with spectral gap in $L^2$ 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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