Occupation measures for chains of infinite order

DOI10.1016/0304-4149(94)90148-1MaRDI QIDQ1318331zbMATH OpenOpenAlexFDO

Authors I. H. Dinwoodie

Publication date 27 March 1994

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(94)90148-1

zbMATH Keywords

chains of infinite orderempirical lawlarge deviationoccupation measurerate function

Mathematics Subject Classification ID

Large deviations (60F10)

Review text

Let \(X_ 1,X_ 2,X_ 3,\dots\) be a chain of infinite order taking values in a Polish space \(S\) with Borel field \(\mathcal B\). Let \(L_ n\) be the occupation measure or empirical law on the state space \(S\): \[ L_ n(A)= n^{-1} (1_ A(X_ 1)+\cdots +1_ A(X_ n)),\quad A\in{\mathcal B}. \] A variational formula for the large deviation rate function \(I\) of \(L_ n\) is given. The existence of a rate function is not systematically studied, but results are available which establish existence as well as the desirable properties of convexity and lower semicontinuity of \(I\). Different approaches to the large deviation rate function are known. The paper under review is based on the results of the author [Ann. Probab. 21, No. 1, 216-231 (1993; Zbl 0777.60024)].

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Cited in

(6)

• Large deviations for the empirical measure of a Markov chain with an application to the multivariate empirical measure
• Occupation measures for Markov chains
• A nonstandard form of the rate function for the occupation measure of a Markov chain
• Edge occupation measure for a reversible Markov chain
• Empirical measure large deviations for reinforced chains on finite spaces
• Observing a Preferred Distribution

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