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2001 The Principle of Large Deviations for Martingale Additive Functionals of Recurrent Markov Processes
Matthias Heck, Faïza Maaouia
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Electron. J. Probab. 6: 1-26 (2001). DOI: 10.1214/EJP.v6-81

Abstract

We give a principle of large deviations for a generalized version of the strong central limit theorem. This generalized version deals with martingale additive functionals of a recurrent Markov process.

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Matthias Heck. Faïza Maaouia. "The Principle of Large Deviations for Martingale Additive Functionals of Recurrent Markov Processes." Electron. J. Probab. 6 1 - 26, 2001. https://doi.org/10.1214/EJP.v6-81

Information

Accepted: 2 March 2001; Published: 2001
First available in Project Euclid: 19 April 2016

zbMATH: 0974.60012
MathSciNet: MR1831803
Digital Object Identifier: 10.1214/EJP.v6-81

Subjects:
Primary: 60F05 , 60F10 , 60F15
Secondary: 60F17 , 60J25

Keywords: Autoregressive Model (AR1) , Central Limit Theorem (CLT) , Large Deviations Principle (LDP) , Markov processes , Martingale Additive Functional (MAF) , Positive Recurrent Processes

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Vol.6 • 2001
Institute of Mathematical Statistics and Bernoulli Society
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