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

Published 5 Jul 2019 in math.ST, math.PR, and stat.TH | (1907.02809v1)

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.

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