Duffy, Ken R. and Metcalfe, Anthony P. (2005) The large deviations of estimating rate-functions. Journal of Applied Probability, 42 (1). pp. 267-274. ISSN 0021-9002

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Abstract

Given a sequence of bounded random variables that satisfies a well known mixing condition, it is shown that empirical estimates of the rate-function for the partial sums process satisfies the large deviation principle in the space of convex functions equipped with the Attouch-Wets topology. As an application, a large deviation principle for estimating the exponent in the tail of the queuelength distribution at a single server queue with infinite waiting space is proved.

Item Type:	Article
Additional Information:	This is the postprint version of the article published at doi:10.1239/jap/1110381386 . Dedicated to John T. Lewis [1932-2004]
Keywords:	Estimating Large Deviations; Estimating Queue-Length Tails;
Academic Unit:	Faculty of Science and Engineering > Research Institutes > Hamilton Institute
Item ID:	6222
Identification Number:	https://doi.org/10.1239/jap/1110381386
Depositing User:	Dr Ken Duffy
Date Deposited:	01 Jul 2015 15:26
Journal or Publication Title:	Journal of Applied Probability
Publisher:	Applied Probability Trust
Refereed:	Yes
Funders:	Science Foundation Ireland (SFI), Irish Research Council for Science Engineering and Technology (IRCSET)
URI:	http://www.appliedprobability.org/conten...
Use Licence:	This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available here

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