paper
A quantitative Mc Diarmid's inequality for geometrically ergodic Markov chains
Antoine Havet, Matthieu Lerasle, Eric Moulines, Elodie Vernet
A quantitative Mc Diarmid's inequality for geometrically ergodic Markov chains
Antoine Havet, Matthieu Lerasle, Eric Moulines, Elodie Vernet
Paper2019-07-05English
quantitative financearxiv
Description
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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