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arxiv: 1201.2265 · v2 · pith:ANXOPVZWnew · submitted 2012-01-11 · 🧮 math.PR

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

classification 🧮 math.PR
keywords hoeffdinginequalitiesmarkovspacespectralalongassumeaverage
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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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