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Hoeffding's inequalities for geometrically ergodic Markov chains on general state space
Preprint
2012-01-11
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Abstract
We consider Markov chain with spectral gap in \(L^2\) space. Assume that \(f\) is a bounded function. Then the probabilities of large deviations of average along trajectory satisfy Hoeffding's-type inequalities. These bounds depend only on the stationary mean, spectral gap and the end-points of support of \(f\).