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A Hoeffding-Type Inequality for Ergodic Time Series

✍ Scribed by Yongqiang Tang

Publisher
Springer US
Year
2007
Tongue
English
Weight
299 KB
Volume
20
Category
Article
ISSN
0894-9840

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πŸ“œ SIMILAR VOLUMES

Hoeffding's inequality for uniformly erg
Hoeffding's inequality for uniformly ergodic Markov chains
✍ Peter W. Glynn; Dirk Ormoneit πŸ“‚ Article πŸ“… 2002 πŸ› Elsevier Science 🌐 English βš– 72 KB

We provide a generalization of Hoe ding'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 appeari