Exponential inequalities for unbounded functions of geometrically ergodic Markov chains: applications to quantitative error bounds for regenerative Metropolis algorithms

DOI10.1080/02331888.2016.1268205zbMath1370.60037arXiv1511.01752OpenAlexW2963439112WikidataQ115551621 ScholiaQ115551621MaRDI QIDQ5276180

Olivier Wintenberger

Publication date: 14 July 2017

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1511.01752

zbMATH Keywords

Markov chainsMarkov chain Monte Carloconfidence intervalexponential inequalitiesMetropolis algorithm

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Inequalities; stochastic orderings (60E15) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Related Items

Exponential inequalities for nonstationary Markov chains, Fourier transform MCMC, heavy-tailed distributions, and geometric ergodicity, Rademacher complexity for Markov chains: applications to kernel smoothing and Metropolis-Hastings, Unnamed Item

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