A class of strong deviation theorems for the sequence of real valued random variables with respect to continuous-state non-homogeneous Markov chains

Meng-di Zhao, Zhi-yan Shi, Wei-guo Yang and Bei Wang

Communications in Statistics - Theory and Methods, 2021, vol. 50, issue 23, 5475-5487

Abstract: In this paper, we consider the asymptotic behavior of the log-likelihood ratio as a measure of the deviation between a sequence of real valued random variables and a continuous-state non-homogeneous Markov chains. Then, by using the supermartingale limit theorem, we establish a class of strong deviation theorems for bivariate functions of the sequence of real valued random variables which are associated with the continuous-state non-homogeneous Markov chains.

Date: 2021
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DOI: 10.1080/03610926.2020.1734838

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