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Hoeffding’s inequality for supermartingales

✍ Scribed by Xiequan Fan; Ion Grama; Quansheng Liu

Book ID
116888902
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
214 KB
Volume
122
Category
Article
ISSN
0304-4149

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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