Rosenthal-type inequalities for linear statistics of Markov chains

03/10/2023

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by   Alain Durmus, et al.

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In this paper, we establish novel deviation bounds for additive functionals of geometrically ergodic Markov chains similar to Rosenthal and Bernstein-type inequalities for sums of independent random variables. We pay special attention to the dependence of our bounds on the mixing time of the corresponding chain. Our proof technique is, as far as we know, new and based on the recurrent application of the Poisson decomposition. We relate the constants appearing in our moment bounds to the constants from the martingale version of the Rosenthal inequality and show an explicit dependence on the parameters of the underlying Markov kernel.