Measure Concentration of Hidden Markov Processes

Details Measure Concentration of Hidden Markov Processes Measure Concentration of Hidden Markov Processes

2006-08-02

arxiv.org/abs/math/0608064v6

Mathematics

Probability

8 pages, 1 figure

Scientific paper

We prove what appears to be the first concentration of measure result for hidden Markov processes. Our bound is stated in terms of the contraction coefficients of the underlying Markov process, and strictly generalizes the Markov process concentration results of Marton (1996) and Samson (2000). Somewhat surprisingly, the bound turns out to be the same as for ordinary Markov processes; this property, however, fails for general hidden/observed process pairs.

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