Sharp asymptotics of large deviations for general state-space Markov-additive chains in

Michael Iltis

Statistics & Probability Letters, 2000, vol. 47, issue 4, 365-380

Abstract: For , i=0,1,2,.... Markov-additive (MA) random variables, d[greater-or-equal, slanted]2, , and (Xn,Sn) a [phi]-irreducible, aperiodic, time-homogeneous MA-chain, a=infx[set membership, variant][Gamma] I(x), we extend to general state-space chains, under a regeneration hypothesis, asymptotic results of the formP(Sn[set membership, variant]n[Gamma];Xn[set membership, variant]A)=n[gamma]e-na(d0+o(1)) as n-->[infinity].

Keywords: Asymptotic; expansion; Large; deviations; Rate; function; Markov-additive; random; variables; General; state-space; Markov; chain; Regenerative; process (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (1)

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