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 a...

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Bibliographic Details
Published in:Statistics & probability letters 2002-01, Vol.56 (2), p.143-146
Main Authors: Glynn, Peter W., Ormoneit, Dirk
Format: Article
Language:English
Subjects:
Exact sciences and technology
Hoeffding's inequality
Hoeffding's inequality Markov chains Large deviations
Inference from stochastic processes
time series analysis
Large deviations
Markov chains
Mathematics
Probability and statistics
Sciences and techniques of general use
Statistics
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Summary: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.
ISSN:0167-7152
1879-2103
DOI:10.1016/S0167-7152(01)00158-4