Hoeffding's inequality for uniformly ergodic Markov chains
AbstractWe provide a generalization of Hoeffding'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 appearing in the bound.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 56 (2002)
Issue (Month): 2 (January)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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- Hunt, F.Y., 2005. "Sample path optimality for a Markov optimization problem," Stochastic Processes and their Applications, Elsevier, vol. 115(5), pages 769-779, May.
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