Corpus ID: 8106004

Measure Concentration of Hidden Markov Processes

  title={Measure Concentration of Hidden Markov Processes},
  author={Leonid Aryeh Kontorovich},
  • Leonid Aryeh Kontorovich
  • Published 2006
  • Mathematics
  • We prove what appears to be the first concentration of measure result for hidden Markov processes. Our bound is stated in terms of the contraction coefficients of the underlying Markov process, and strictly generalizes the Markov process concentration results of Marton (1996) and Samson (2000). Somewhat surprisingly, the bound turns out to be the same as for ordinary Markov processes; this property, however, fails for general hidden/observed process pairs. 

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    • Katalin Marton
    • Ann . Probab .
    • 1996