Large deviation behavior for the longest head run in an IID Bernoulli sequence (Q2346980): Difference between revisions

The authors derive sharp large deviations results for the length \(S_N\) of the longest consecutive run of heads within the first \(N\) tosses of a (potentially ``unfair'') coin, where the success probability of the associated independent and identically distributed Bernoulli sequence is equal to \(p \in (0, 1)\). Their argumentation is based on a duality result between \(S_N\) and the hitting time of a discrete Markov chain on the non-negative integers. Existing lower bounds for \(\mathbb{P}(S_N < k)\), \(1 \leq k \leq N\), are improved by making use of this duality. An exact description of the deviation probabilities for \(S_N\) along subsequences is provided, which immediately entails the main results about the large deviation behavior of \(S_N\).