A quantitative McDiarmid's inequality for geometrically ergodic Markov chains

DOI10.1214/20-ECP286zbMath1434.60174arXiv1907.02809OpenAlexW3004647581WikidataQ114060523 ScholiaQ114060523MaRDI QIDQ2183112

Matthieu Lerasle, A. Havet, Eric Moulines, Elodie Vernet

Publication date: 26 May 2020

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1907.02809

zbMATH Keywords

Markov chainscouplinggeometric ergodicityconcentration inequalities

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Discrete-time Markov processes on general state spaces (60J05)

Related Items (3)

Variance reduction for Markov chains with application to MCMC ⋮ Gaussian concentration bounds for stochastic chains of unbounded memory ⋮ Fourier transform MCMC, heavy-tailed distributions, and geometric ergodicity

Cites Work

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• Subgaussian concentration inequalities for geometrically ergodic Markov chains
• General state space Markov chains and MCMC algorithms
• A tail inequality for suprema of unbounded empirical processes with applications to Markov chains
• Posterior consistency for nonparametric hidden Markov models with finite state space
• Concentration inequalities for Markov chains by Marton couplings and spectral methods
• Markov Chains
• Fundamentals of Nonparametric Bayesian Inference

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