Large deviations for generic stationary processes

DOI10.4064/CM-84/85-1-75-82MaRDI QIDQ4511582zbMATH OpenOpenAlexFDO

Authors Dalibor Volný, Emmanuel Lesigne

Publication date 3 December 2001

Published in Colloquium Mathematicum (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/210810

zbMATH Keywords

ergodic theoremmeasure-preserving ergodic and aperiodic transformationprobability spacespeed of convergence

Mathematics Subject Classification ID

Measure-preserving transformations (28D05) Ergodic theorems, spectral theory, Markov operators (37A30) Large deviations (60F10) Stationary stochastic processes (60G10)

Review text

Let \((\Omega,{\mathcal A},\mu)\) be a probability space and \(T\) a measurable and measure-preserving ergodic and aperiodic transformation of \(\Omega\) onto itself. For \(1\leq p\leq\infty\) let \(L^p_0(\mu)\) denote the space of functions in \(L^p\) with \(0\) integral. Put \[ S_nf= \sum^{n-1}_{i=0} f\circ T^i. \] The ergodic theorem implies \(\lim_{n\to\infty} \mu(S_n f>n)= 0\). Here, the speed of convergence is studied. E.g., Theorem 3 asserts: Let \((b_n)\) be a sequence of positive numbers tending to \(\infty\). There exists a dense \(G_\delta\)-set \(G\subset L^p_0\) such that for any \(f\in G\) \[ \limsup b_n\mu(S_n f> n)= \infty. \] It is also shown that there exists a dense set \(D\subset L^p_0\) such that for \(f\in D\) the \(\liminf\) of the same sequence is \(\infty\).

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