Abstract
For arrays (Si,j)1≤i≤j of random variables that are stationary in an appropriate sense, we show that the fluctuations of the process (S1,n)n=1∞ can be bounded in terms of a measure of the “mean subadditivity” of the process (Si,j)1≤i≤j. We derive universal upcrossing inequalities with exponential decay for Kingman’s subadditive ergodic theorem, the Shannon–MacMillan–Breiman theorem and for the convergence of the Kolmogorov complexity of a stationary sample.
Citation
Michael Hochman. "Upcrossing inequalities for stationary sequences and applications." Ann. Probab. 37 (6) 2135 - 2149, November 2009. https://doi.org/10.1214/09-AOP460
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