Large deviations for correlated random variables described by a matrix product ansatz

DOI10.1088/1742-5468/2014/02/P02003zbMATH Open1456.60062arXiv1310.6952MaRDI QIDQ3301865FDOQ3301865

Authors: Florian Angeletti, Hugo Touchette, Eric Bertin, Patrice Abry 

Publication date: 11 August 2020

Published in: Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Abstract: We study the large deviations of sums of correlated random variables described by a matrix product ansatz, which generalizes the product structure of independent random variables to matrices whose non-commutativity is the source of correlations. We show with specific examples that different large deviation behaviors can be found with this ansatz. In particular, it is possible to construct sums of correlated random variables that violate the Law of Large Numbers, the Central Limit Theorem, as well as sums that have nonconvex rate functions or rate functions with linear parts or plateaux.

Full work available at URL: https://arxiv.org/abs/1310.6952

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Mathematics Subject Classification ID

Large deviations (60F10) Measures of association (correlation, canonical correlation, etc.) (62H20) Sums of independent random variables; random walks (60G50)

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Cited In (4)

• General limit distributions for sums of random variables with a matrix product representation
• The semi-infinite asymmetric exclusion process: large deviations via matrix products
• Title not available (Why is that?)
• Large deviations in renewal models of statistical mechanics

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