Large deviations for random dynamical systems and applications to hidden Markov models (Q617911): Difference between revisions

The main object of this paper is to investigate the large deviation principle (LDP) of the occupation measures of not necessarily irreducible random dynamical systems driven by Markov processes. As a further application, the authors establish the LDP for extended hidden Markov models and obtain large deviation estimations for the log-likelihood process and maximum likelihood estimator of hidden Markov models.