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

✍ Scribed by Miasojedow, Błażej


Book ID
121842628
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
371 KB
Volume
87
Category
Article
ISSN
0167-7152

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Hoeffding's inequality for uniformly erg
✍ Peter W. Glynn; Dirk Ormoneit 📂 Article 📅 2002 🏛 Elsevier Science 🌐 English ⚖ 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