Concentration Inequalities for Dependent Random Variables via the Martingale Method

Abstract: We use the martingale method to establish concentration inequalities for a class of dependent random sequences on a countable state space, with the constants in the inequalities expressed in terms of certain mixing coefficients. Along the way, we obtain bounds on certain martingale differences associated with the random sequences, which may be of independent interest. As an application of our result, we also derive a concentration inequality for inhomogeneous Markov chains, and establish an extremal property associated with their martingale difference bounds. This work complements certain concentration inequalities obtained by Marton and Samson, while also providing a different proof of some known results.