Deviation inequalities for separately Lipschitz functionals of composition of random functions

Published 3 Jul 2019 in math.PR, math.ST, and stat.TH | (1907.01758v1)

Abstract: We consider a class of non-homogeneous Markov chains, that contains many natural examples. Next, using martingale methods, we establish some deviation and moment inequalities for separately Lipschitz functions of such a chain, under moment conditions on some dominating random variables.

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