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 Electronic Journal of Probability > Vol. 7 (2002) > Paper 23 open journal systems 


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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Pages: 1-31

Published on: November 13, 2002
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Electronic Journal of Probability. ISSN: 1083-6489