Strong limit theorems of empirical distributions for large segmental exceedances of partial sums of Markov variables
In the paper reviewed above the authors characterized the composition of high scoring segments among partial sums of i.i.d. random variables. In this paper the authors consider a letter sequence \(A_ 1,\dots ,A_ n\) assuming values from a finite alphabet \(\{ a_ i\} _{i=1,\dots ,r}\) governed by an \(r\)-state irreducible Markov chain. Suppose \((X_ m,U_ m)\) are independently distributed given the sequence \(A_ 1,A_ 2,\dots \), where the joint distribution of \((X_ m,U_ m)\) depends only on \(A_{m-1}\) and \(A_ m\) and is of bounded support. When \(A_ 0\) is started with its stationary distribution, \(E\;X_ 1<0\) and the existence of a finite cycle \(C=\{ A_ 0=i_ 0,\dots ,A_ k -i_ k =i_ 0\} \) such that \(P\bigl\{ S_ m = \sum _{i=1}^ m X_ i >0,\;m = 1,\dots ,k;C\bigr\} >0\) is assumed. Define the stopping times \[ K_ 0=0,\quad K_ \nu = \min \bigl\{ k\geq K_{\nu-1} +1,\;S_ k - S_{K_{\nu-1}} \leq 0\bigr\} ,\quad \nu\geq 1, \] and for \(y>0\), \[ T_ \nu (g) = \min \bigl\{ m:\;m>K_{\nu -1}\text{ and either }S_ m - S_{K_{\nu - 1}}\leq 0\text{ or }S_ m - S_{K_{\nu-1}} \geq y\bigr\}, \] \[ L_ \nu (y)= T_ \nu (g) - K_{\nu -1},\;W_ \nu (g) = \sum_{m=K_{\nu -1}+1}^{T_ \nu (g)} U_ m . \] Theorems 1 and 2: Let \(I_ \nu (y)=1\) while \(I_ 1 (y) = \cdots = I_{\nu -1} (y) = 0\). Then \(L_ \nu (y)/y \to 1/w^*\) a.s. as \(t\to \infty\), and \(W_ \nu (y) / L_ \nu (g) \to u^*\) a.s. as \(y \to \infty\), for any value of \(A_ 0\), certain positive constants \(w^*\), \(u^*\).
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