Strong Limit Theorems of Empirical Distributions for Large Segmental Exceedances of Partial Sums of Markov Variables
Dembo, Amir ; Karlin, Samuel
Ann. Probab., Tome 19 (1991) no. 4, p. 1756-1767 / Harvested from Project Euclid
Let $A_1,A_2,\ldots,A_n$ be generated governed by an $r$-state irreducible Markov chain and suppose $(X_i,U_i)$ are real valued independently distributed given the sequence $A_1,A_2,\ldots,A_n$, where the joint distribution of $(X_i,U_i)$ depends only on the values of $A_{i-1}$ and $A_i$ and is of bounded support. Where $A_0$ is started with its stationary distribution, $E\lbrack X_1\rbrack < 0$ and the existence of a finite cycle $C = \{A_0 = i_0,\ldots,A_k = i_k = i_0\}$ such that $\Pr\{\sum^m_{i=1}X_i > 0, m = 1,\ldots,k; C\} > 0$ is assumed. For the partial sum realizations where $\sum^l_{i=k}X_i \rightarrow \infty$, strong laws are derived for the sums $\sum^l_{i=k}U_i$. Examples with $r = 2, X \in \{-1, 1\}$ and the cases of Brownian motion and Poisson process with negative drift are worked out.
Publié le : 1991-10-14
Classification:  Strong laws,  Markov additive processes,  large segmental sums,  60F10,  60F15,  60J10,  60K15
@article{1176990233,
     author = {Dembo, Amir and Karlin, Samuel},
     title = {Strong Limit Theorems of Empirical Distributions for Large Segmental Exceedances of Partial Sums of Markov Variables},
     journal = {Ann. Probab.},
     volume = {19},
     number = {4},
     year = {1991},
     pages = { 1756-1767},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176990233}
}
Dembo, Amir; Karlin, Samuel. Strong Limit Theorems of Empirical Distributions for Large Segmental Exceedances of Partial Sums of Markov Variables. Ann. Probab., Tome 19 (1991) no. 4, pp.  1756-1767. http://gdmltest.u-ga.fr/item/1176990233/