Subgaussian concentration inequalities for geometrically ergodic Markov chains

By Jérôme Dedecker, S. Gouëzel. 2014

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We prove that an irreducible aperiodic Markov chain is geometrically ergodic if and only if any separately bounded functional of the stationary chain satisfies an appropriate subgaussian deviation inequality from its mean.

Subfields: Applied Mathematics, Mathematical Physics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/8026c6ac47e3f2c0d37674dd8e51cbc9144ae3c9