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Journal Articles Electronic Communications in Probability Year : 2020

A quantitative Mc Diarmid's inequality for geometrically ergodic Markov chains

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Abstract

We state and prove a quantitative version of the bounded difference inequality for geometrically ergodic Markov chains. Our proof uses the same martingale decomposition as \cite{MR3407208} but, compared to this paper, the exact coupling argument is modified to fill a gap between the strongly aperiodic case and the general aperiodic case.

Dates and versions

hal-02177452 , version 1 (09-07-2019)

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Antoine Havet, Matthieu Lerasle, Éric Moulines, Elodie Vernet. A quantitative Mc Diarmid's inequality for geometrically ergodic Markov chains. Electronic Communications in Probability, 2020. ⟨hal-02177452⟩
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