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math.PR2025
A note on concentration inequalities for the overlapped batch mean variance estimators for Markov chains
Eric Moulines, Alexey Naumov, Sergey Samsonov
In this paper, we study the concentration properties of quadratic forms associated with Markov chains using the martingale decomposition method introduced by Atchadé and Cattaneo (…
math.PR2024
A New Bound on the Cumulant Generating Function of Dirichlet Processes
Pierre Perrault, Denis Belomestny, Pierre Ménard +4
In this paper, we introduce a novel approach for bounding the cumulant generating function (CGF) of a Dirichlet process (DP) , using superadditivity. In par…