Hoeffding’s inequality for non-irreducible Markov models

Nikola Sandrić and Stjepan Šebek

Statistics & Probability Letters, 2023, vol. 200, issue C

Abstract: In this article, we establish Hoeffding’s inequality for bounded Lipschitz functions of a class of not necessarily irreducible Markov models. The result complements the existing literature on this topic where Hoeffding’s inequality for bounded measurable functions of a class of irreducible Markov models has been considered. Our approach is based on the assumption of uniform ergodicity of the underlying Markov model in L1-Wasserstein space.

Keywords: Hoeffding’s inequality; Markov model; Wasserstein distance (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1016/j.spl.2023.109870

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