arXivDaily arXiv每日学术速递 周一至周五更新
arXiv 0707.4596math.PR
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更新报酬过程精确大偏差的一致收敛性

Uniform convergence of exact large deviations for renewal reward processes

Zhiyi Chi

摘要:

设(X_n,Y_n)为独立同分布。随机向量。设W(x)是Y_n的部分和在X_n的部分和超过x>0之前的部分和.受神经活动随机模型的启发,建立了大偏差概率的形式$\sup_{c\in I}|a(c,x)\operatorname {Pr}\{W(x)\gecx\}-1|=o(1)$,$x\to\infty$的一致收敛性,其中a(c,x)是确定性函数,I是开区间。为了得到一致精确大偏差原理(LDP),我们首先建立了一族更新测度的指数快速一致收敛性,然后将其应用于X_n的适当倾斜分布和W(x)的矩母函数.当X_n有光滑密度的子分量,Y_n不是X_n的线性变换时,得到了一致精确的LDP。还对第一延迟时间处的部分和进行扩展。

英文摘要:

Let (X_n,Y_n) be i.i.d. random vectors. Let W(x) be the partial sum of Y_n just before that of X_n exceeds x>0. Motivated by stochastic models for neural activity, uniform convergence of the form $\sup_{c\in I}|a(c,x)\operatorname {Pr}\{W(x)\gecx\}-1|=o(1)$, $x\to\infty$, is established for probabilities of large deviations, with a(c,x) a deterministic function and I an open interval. To obtain this uniform exact large deviations principle (LDP), we first establish the exponentially fast uniform convergence of a family of renewal measures and then apply it to appropriately tilted distributions of X_n and the moment generating function of W(x). The uniform exact LDP is obtained for cases where X_n has a subcomponent with a smooth density and Y_n is not a linear transform of X_n. An extension is also made to the partial sum at the first exceedance time.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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