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Bootstrap and uniform bounds for Harris Markov chains

Abstract : This thesis concentrates on some extensions of empirical processes theory when the data are Markovian. More specifically, we focus on some developments of bootstrap, robustness and statistical learning theory in a Harris recurrent framework. Our approach relies on the regenerative methods that boil down to division of sample paths of the regenerative Markov chain under study into independent and identically distributed (i.i.d.) blocks of observations. These regeneration blocks correspond to path segments between random times of visits to a well-chosen set (the atom) forming a renewal sequence. In the first part of the thesis we derive uniform bootstrap central limit theorems for Harris recurrent Markov chains over uniformly bounded classes of functions. We show that the result can be generalized also to the unbounded case. We use the aforementioned results to obtain uniform bootstrap central limit theorems for Fr´echet differentiable functionals of Harris Markov chains. Propelledby vast applications, we discuss how to extend some concepts of robustness from the i.i.d. framework to a Markovian setting. In particular, we consider the case when the data are Piecewise-determinic Markov processes. Next, we propose the residual and wild bootstrap procedures for periodically autoregressive processes and show their consistency. In the second part of the thesis we establish maximal versions of Bernstein, Hoeffding and polynomial tail type concentration inequalities. We obtain the inequalities as a function of covering numbers and moments of time returns and blocks. Finally, we use those tail inequalities toderive generalization bounds for minimum volume set estimation for regenerative Markov chains.
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Submitted on : Monday, January 21, 2019 - 6:32:17 PM
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Gabriela Ciolek. Bootstrap and uniform bounds for Harris Markov chains. Statistics [math.ST]. Université Paris-Saclay, 2018. English. ⟨NNT : 2018SACLT024⟩. ⟨tel-01988595⟩