Hoeffding's inequality for uniformly ergodic Markov chains

Peter W. Glynn and Dirk Ormoneit

Statistics & Probability Letters, 2002, vol. 56, issue 2, 143-146

Abstract: We 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.

Keywords: Hoeffding's; inequality; Markov; chains; Large; deviations (search for similar items in EconPapers)
Date: 2002
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167-7152(01)00158-4
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:56:y:2002:i:2:p:143-146

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().