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Hoeffding's inequality for uniformly ergodic Markov chains

We provide a generalization of Hoeffding's inequality to partial sums that are derived from a uniformly ergodic Markov chain. Our exponential inequality on the deviation of these sums from their expectation is particularly useful in situations where we require uniform control on the constants appearing in the bound.
Year of publication:
2002
Authors: Glynn, Peter W. ; Ormoneit, Dirk
Published in:
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 56.2002, 2, p. 143-146
Publisher: Elsevier
Keywords: Hoeffding's inequality Markov chains Large deviations
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10005319868
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