Self-normalized Large Deviations for Markov Chains

Mathieu Faure (Universit'e de Marne La Vall'ee)


We prove a self-normalized large deviation principle for sums of Banach space valued functions of a Markov chain. Self-normalization applies to situations for which a full large deviation principle is not available. We follow the lead of Dembo and Shao [DemSha98b] who state partial large deviations principles for independent and identically distributed random sequences.

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Pages: 1-31

Publication Date: November 13, 2002

DOI: 10.1214/EJP.v7-122


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