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Large exceedences for uniformly recurrent Markov-additive processes and strong-mixing stationary processes

Part of: Markov processes Limit theorems Stochastic processes

Published online by Cambridge University Press:  14 July 2016

Tim Zajic
Tim Zajic*
Affiliation:
Stanford University
*
∗Present address: 422 Loma Vista, El Segundo, CA 90245, USA.
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Abstract

We extend large exceedence results for i.i.d. -valued random variables to a class of uniformly recurrent Markov-additive processes and stationary strong-mixing processes. As in the i.i.d. case, the results are proved via large deviations estimates.

Keywords

LARGE SEGMENTAL SUMSLARGE DEVIATIONSMARKOV CHAINSSTRONG MIXING

MSC classification

Primary: 60F10: Large deviations
Secondary: 60G10: Stationary processes 60J10: Markov chains (discrete-time Markov processes on discrete state spaces)
Type
Research Papers
Information
Journal of Applied Probability , Volume 32 , Issue 3 , September 1995 , pp. 679 - 691
Copyright
Copyright © Applied Probability Trust 1995 

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