How to estimate the rate function of a cumulative process

DOI10.1239/JAP/1134587815MaRDI QIDQ5476147zbMATH OpenOpenAlexFDO

Authors Ken R. Duffy, Anthony Metcalfe

Publication date 29 June 2006

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/jap/1134587815

zbMATH Keywords

estimating large deviations

Mathematics Subject Classification ID

Large deviations (60F10) Non-Markovian processes: estimation (62M09) Renewal theory (60K05)

Recommendations

• The Large Deviations of Estimating Rate Functions
• Asymptotic deviation bounds for cumulative processes
• The sample path large deviations rate function of cumulated i.i.d. continuous-time Markov chains
• Large deviations for renewal processes
• Large deviations in estimation of an Ornstein-Uhlenbeck model

Cites work

• scientific article; zbMATH DE number 1190402 (Why is no real title available?)
• scientific article; zbMATH DE number 490143 (Why is no real title available?)
• scientific article; zbMATH DE number 1158743 (Why is no real title available?)
• A Convergence Theory for Saddle Functions
• A large deviation analysis of errors in measurement based admission control to buffered and bufferless resources
• A large-deviation result for regenerative processes
• An inverse of Sanov's theorem
• Bayesian inference for Markov chains
• Bayesian network management
• Bias correction in effective bandwidth estimation
• Convex Analysis
• Distribution-free confidence intervals for measurement of effective bandwidth
• Functional large deviation principles for first-passage-time processes
• Isometries for the Legendre-Fenchel Transform
• Large deviations and strong mixing
• Large deviations behavior of counting processes and their inverses
• Large deviations of inverse processes with nonlinear scalings
• Logarithmic asymptotics for steady-state tail probabilities in a single-server queue
• On the estimation of buffer overflow probabilities from measurements
• Some Useful Functions for Functional Large Deviations
• The Large Deviations of Estimating Rate Functions
• Variational Analysis

Cited in

(5)

• The explicit form of the rate function for semi-Markov processes and its contractions
• Asymptotic deviation bounds for cumulative processes
• Large deviation probabilities in estimation of Poisson random measures
• Some familiar examples for which the large deviation principle does not hold
• The Large Deviations of Estimating Rate Functions

This page was built for publication: How to estimate the rate function of a cumulative process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5476147)