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Large deviations for longest runs in Markov chains
Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering.
Beihang Univ, Peoples R China.
2020 (English)In: JOURNAL OF APPLIED ANALYSIS, ISSN 1425-6908, Vol. 26, no 2, p. 309-314Article in journal (Refereed) Published
Abstract [en]

We continue our investigation on general large deviation principles (LDPs) for longest runs. Previously, a general LDP for the longest success run in a sequence of independent Bernoulli trails was derived in [Z. Liu and X. Yang, A general large deviation principle for longest runs, Statist. Probab. Lett. 110 (2016), 128-132]. In the present note, we establish a general LDP for the longest success run in a two-state (success or failure) Markov chain which recovers the previous result in the aforementioned paper. The main new ingredient is to implement suitable estimates of the distribution function of the longest success run recently established in [Z. Liu and X. Yang, On the longest runs in Markov chains, Probab. Math. Statist. 38 (2018), no. 2, 407-428].

Place, publisher, year, edition, pages
WALTER DE GRUYTER GMBH , 2020. Vol. 26, no 2, p. 309-314
Keywords [en]
Large deviation principle; Markov chain; longest run
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:liu:diva-171955DOI: 10.1515/jaa-2020-2027ISI: 000593064600014OAI: oai:DiVA.org:liu-171955DiVA, id: diva2:1510463
Available from: 2020-12-16 Created: 2020-12-16 Last updated: 2020-12-16

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