Self-normalized Large Deviations for Markov Chains
Mathieu Faure, Universit'e de Marne La Vall'ee
Abstract
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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