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math.PR2025
Rosenthal-type inequalities for linear statistics of Markov chains
Alain Durmus, Eric Moulines, Alexey Naumov +2
In this paper, we establish novel concentration inequalities for additive functionals of geometrically ergodic Markov chains similar to Rosenthal inequalities for sums of independe…
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…