A large-deviation result for regenerative processes (Q1814408): Difference between revisions
From MaRDI portal
Created a new Item |
ReferenceBot (talk | contribs) Changed an Item |
||
(2 intermediate revisions by 2 users not shown) | |||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: The central limit theorem for the right edge of supercritical oriented percolation / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Limit theorems for first-passage times in linear and non-linear renewal theory / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q4170136 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q4131340 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q5646174 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q3948486 / rank | |||
Normal rank | |||
links / mardi / name | links / mardi / name | ||
Revision as of 10:40, 15 May 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | A large-deviation result for regenerative processes |
scientific article |
Statements
A large-deviation result for regenerative processes (English)
0 references
25 June 1992
0 references
Let \(\{(X_ i,Y_ i)\}\) denote a sequence of i.i.d. r.v.s in \(Z^ 2\) with finite first \(\mu_ 1,\mu_ 2\) and second moments; let \(\tau_ n\) denote the time of the first regeneration after time \(n\) and \(S_ n=(S_ n^{(1)},S^{(2)}_ n)=\sum^ n_{i=1}(X_ i,Y_ i)\). The authors show under certain conditions of Cramèr type that there exists a neighborhood \(N=N(\mu_ 1/\mu_ 2)\) such that for \(a\in N\) \[ P(S^{(1)}_{\tau_ n}\geq an)\sim c_ 1\hbox{exp}(-c_ 2n)/\sqrt n,\quad c_ i>0, \] and an analogous result for \(P(S^{(1)}_{\tau_ n}\leq an)\). Their approach is to imbed the p.d. of \((X_ 1,Y_ 1)\) into an exponential family and then to choose an appropriate number.
0 references
large deviation
0 references
regenerative processes
0 references