Concentration of measure inequalities for Markov chains and $\Phi$-mixing processes
Concentration of measure inequalities for Markov chains and $\Phi$-mixing processes
We prove concentration inequalities for some classes of Markov chains and $\Phi$-mixing processes, with constants independent of the size of the sample, that extend the inequalities for product measures of Talagrand. The method is based on information inequalities put forwardby Marton in case of contracting Markov chains. Using a simple …