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

preprint2013arXivOpen access

Abstract

We consider Markov chain with spectral gap in L2L^2 space. Assume that ff 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 ff.

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