Hoeffding's inequality for uniformly erg
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Peter W. Glynn; Dirk Ormoneit
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Article
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2002
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Elsevier Science
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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