Electronic Communications in Probability

Subgaussian concentration inequalities for geometrically ergodic Markov chains

Jérôme Dedecker and Sébastien Gouëzel

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We prove that an irreducible aperiodic Markov chain is geometrically ergodic if and only if any separately bounded functional of the stationary chain satisfies an appropriate subgaussian deviation inequality from its mean.

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Electron. Commun. Probab. Volume 20 (2015), paper no. 64, 12 pp.

Accepted: 19 September 2015
First available in Project Euclid: 7 June 2016

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Dedecker, Jérôme; Gouëzel, Sébastien. Subgaussian concentration inequalities for geometrically ergodic Markov chains. Electron. Commun. Probab. 20 (2015), paper no. 64, 12 pp. doi:10.1214/ECP.v20-3966. https://projecteuclid.org/euclid.ecp/1465320991

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