Hoeffding's inequalities for geometrically ergodic Markov chains on general state space
Miasojedow, Błażej
Original · EN
We consider Markov chain with spectral gap in L² space. Assume that f is a bounded function. Then the probabilities of large deviations of average along trajectory satisfy Hoeffding's-type inequalities. These bounds depend only on the stationary mean, spectral gap and the end-points of support of f.
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