A general large deviation principle for longest runs
2016 (English)In: Statistics and Probability Letters, ISSN 0167-7152, E-ISSN 1879-2103, Vol. 110, 128-132 p.Article in journal (Refereed) Published
In this note we prove a general large deviation principle (LDP) for the longest success run in a sequence of independent Bernoulli trails. This study not only recovers several recently derived LDPs, but also gives new LDPs for the longest success run. The method is based on the Bryc’s inverse Varadhan lemma, which can be intuitively generalized to the longest success run in a two-state (success and failure) Markov chain.
Place, publisher, year, edition, pages
2016. Vol. 110, 128-132 p.
Longest run; Large deviation principle; Bernoulli trail; Markov chain
Probability Theory and Statistics
IdentifiersURN: urn:nbn:se:liu:diva-126109DOI: 10.1016/j.spl.2015.12.015ISI: 000374627200016OAI: oai:DiVA.org:liu-126109DiVA: diva2:911843