A class of strong deviation theorems for the sequence of real valued random variables with respect to continuous-state non-homogeneous Markov chains. Issue 23 (2nd December 2021)

• Record Type: Journal Article
• Authors: Zhao, Meng-di; Shi, Zhi-yan; Yang, Wei-guo; Wang, Bei
• Is Part Of: Communications in statistics. Volume 50:Issue 23(2021)
• Page Start: 5475
• Page End: 5487
• Publication Date: 2021-12-02
• Subjects: Sequence of real valued random variables -- log-likelihood ratio -- strong deviation theorem -- continuous-state non-homogeneous Markov chains; 60F15 -- 60J10; Mathematical statistics -- Periodicals; Mathematics; Statistics; 519.2
• DOI: 10.1080/03610926.2020.1734838
• Languages: English
• ISSNs: 0361-0926

Abstract

Abstract: In this paper, we consider the asymptotic behavior of the log-likelihood ratio as a measure of the deviation between a sequence of real valued random variables and a continuous-state non-homogeneous Markov chains. Then, by using the supermartingale limit theorem, we establish a class of strong deviation theorems for bivariate functions of the sequence of real valued random variables which are associated with the continuous-state non-homogeneous Markov chains.