Let us consider a Markov chain in a random scenery. Then, if the (possibly multivariate) i.i.d. random variables which form the random scenery take values in a compact set, and the Markov chain is irreducible and has finite state space, we can prove the large deviation principle for the sample means. Moreover, if the random scenery is univariate, we can prove a large deviation estimate for some level crossing probabilities.
Macci, C. (2004). Large deviations for Markov chains in a random scenery with compact support. BOLETÍN DE LA SOCIEDAD MATEMÁTICA MEXICANA, 10, 159-165.
Large deviations for Markov chains in a random scenery with compact support
MACCI, CLAUDIO
2004-01-01
Abstract
Let us consider a Markov chain in a random scenery. Then, if the (possibly multivariate) i.i.d. random variables which form the random scenery take values in a compact set, and the Markov chain is irreducible and has finite state space, we can prove the large deviation principle for the sample means. Moreover, if the random scenery is univariate, we can prove a large deviation estimate for some level crossing probabilities.File in questo prodotto:
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