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

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  • Iltis, Michael

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].

Suggested Citation

  • Iltis, Michael, 2000. "Sharp asymptotics of large deviations for general state-space Markov-additive chains in," Statistics & Probability Letters, Elsevier, vol. 47(4), pages 365-380, May.
    • Handle: RePEc:eee:stapro:v:47:y:2000:i:4:p:365-380
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    Cited by:

    1. Paul Dupuis & Jim (Xiao) Zhang & Philip Whiting, 2006. "Refined Large Deviation Asymptotics for the Classical Occupancy Problem," Methodology and Computing in Applied Probability, Springer, vol. 8(4), pages 467-496, December.

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