A Hoeffding inequality for Markov chains (1806.11519v2)

Abstract: We prove deviation bounds for the random variable $\sum_{i=1}^{n} f_i(Y_i)$ in which ${Y_i}{i=1}^{\infty}$ is a Markov chain with stationary distribution and state space $[N]$, and $f_i: [N] \rightarrow [-a_i, a_i]$. Our bound improves upon previously known bounds in that the dependence is on $\sqrt{a_1^2+\cdots+a_n^2}$ rather than $\max{i}{a_i}\sqrt{n}.$ We also prove deviation bounds for certain types of sums of vector--valued random variables obtained from a Markov chain in a similar manner. One application includes bounding the expected value of the Schatten $\infty$-norm of a random matrix whose entries are obtained from a Markov chain.