Optimal Hoeffding bounds for discrete reversible Markov chains

Citation
A. León, Carlos et Perron, François, Optimal Hoeffding bounds for discrete reversible Markov chains, Annals of applied probability , 14(2), 2004, pp. 958-970
ISSN journal
10505164
Volume
14
Issue
2
Year of publication
2004
Pages
958 - 970
Database
ACNP
SICI code
Abstract
We build optimal exponential bounds for the probabilities of large deviations of sums .k=1nf(Xk) where (Xk) is a finite reversible Markov chain and f is an arbitrary bounded function. These bounds depend only on the stationary mean E.f, the end-points of the support of f, the sample size n and the second largest eigenvalue . of the transition matrix.