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Hoeffding's lemma for Markov Chains and its applications to statistical learning

Abstract

We extend Hoeffding's lemma to general-state-space and not necessarily reversible Markov chains. Let {Xi}i1\{X_i\}_{i \ge 1} be a stationary Markov chain with invariant measure π\pi and absolute spectral gap 1λ1-\lambda, where λ\lambda is defined as the operator norm of the transition kernel acting on mean zero and square-integrable functions with respect to π\pi. Then, for any bounded functions fi:x[ai,bi]f_i: x \mapsto [a_i,b_i], the sum of fi(Xi)f_i(X_i) is sub-Gaussian with variance proxy 1+λ1λi(biai)24\frac{1+\lambda}{1-\lambda} \cdot \sum_i \frac{(b_i-a_i)^2}{4}. This result differs from the classical Hoeffding's lemma by a multiplicative coefficient of (1+λ)/(1λ)(1+\lambda)/(1-\lambda), and simplifies to the latter when λ=0\lambda = 0. The counterpart of Hoeffding's inequality for Markov chains immediately follows. Our results assume none of countable state space, reversibility and time-homogeneity of Markov chains and cover time-dependent functions with various ranges. We illustrate the utility of these results by applying them to six problems in statistics and machine learning.

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