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Deviation inequalities for separately Lipschitz functionals of composition of random functions. (English) Zbl 1479.60041

Summary: We consider a class of non-homogeneous Markov chains, that contains many natural examples. Next, using martingale methods, we establish some deviation and moment inequalities for separately Lipschitz functions of such a chain, under moment conditions on some dominating random variables.

MSC:

60E15 Inequalities; stochastic orderings
60J10 Markov chains (discrete-time Markov processes on discrete state spaces)
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
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