In this paper, we develop bounds on the distribution function of the empirical mean for general ergodic Markov processes having a spectral gap. Our approach is based on the perturbation theory for linear operators, following the technique introduced by Gillman.
Mots clés : Markov process, Chernoff bound, Berry-Esséen, eigenvalues, perturbation theory
@article{PS_2001__5__183_0, author = {Lezaud, Pascal}, title = {Chernoff and {Berry-Ess\'een} inequalities for {Markov} processes}, journal = {ESAIM: Probability and Statistics}, pages = {183--201}, publisher = {EDP-Sciences}, volume = {5}, year = {2001}, zbl = {0998.60075}, language = {en}, url = {http://www.numdam.org/item/PS_2001__5__183_0/} }
Lezaud, Pascal. Chernoff and Berry-Esséen inequalities for Markov processes. ESAIM: Probability and Statistics, Tome 5 (2001), pp. 183-201. http://www.numdam.org/item/PS_2001__5__183_0/
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