Self-normalized large deviations for Markov chains - Inria - Institut national de recherche en sciences et technologies du numérique Accéder directement au contenu
Article Dans Une Revue Comptes rendus de l'Académie des sciences. Série I, Mathématique Année : 2001

Self-normalized large deviations for Markov chains

Résumé

We prove a self-normalized large deviation principle for sums of Banach space valued functions of a Markov chain. Self-normalization applies to situations for which a domination hypothesis would be necessary in order to obtain a full large deviation principle. We follow the lead of Dembo and Shoo [2] who state partial large deviations Principles for independent and identically distributed random sequences. (C) 2001 Academie des sciences/Editions scientifiques et medicales Elsevier SAS.

Dates et versions

hal-00693700 , version 1 (02-05-2012)

Identifiants

Citer

Mathieu Faure. Self-normalized large deviations for Markov chains. Comptes rendus de l'Académie des sciences. Série I, Mathématique, 2001, 333 (9), pp.885--890. ⟨10.1016/S0764-4442(01)01953-X⟩. ⟨hal-00693700⟩
64 Consultations
0 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More