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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: | 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) |
| Related URLs: | |
| 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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