Exponential Inequalities for Some Mixing Processes and Dynamic Systems

Abstract: Many important dynamic systems, time series models or even algorithms exhibit non-strong mixing properties. In this paper, we introduce the general concept of $\mathcal{C}{p,\mathcal{F}}$-mixing to cover such cases, where assumptions on the dependence structure become stronger with increasing $p\in [1, \infty].$ We derive a series of sharp exponential-type (or Bernstein-type) inequalities under this dependence concept for $p=1$ and $p=\infty$. More specifically, $\mathcal{C}{\infty,\mathcal{F}}$-mixing is equal to the widely discussed $\mathcal{C}$-mixing \citep{maume2006exponential}, and we prove a refinement of an Berntsein-type inequality in \cite{hang2017bernstein} for $\mathcal{C}$-mixing processes under more general assumptions. As there exist many stochastic processes and dynamic systems, which are not $\mathcal{C}$ (or $\mathcal{C}{\infty,\mathcal{F}}$)-mixing, we derive Bernstein-type inequalities for $\mathcal{C}{1,\mathcal{F}}$-mixing processes as well and we use this result to investigate the convergence rates of plug-in-type estimators of the local conditional mode set for vector-valued output, in particular in situations where the density is less smooth.