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Self-normalized large deviations for Markov chains

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 domination hypothesis would be necessary in order to obtain a full large deviation principle. We follow the lead of Dembo and Shoo [2] who state partial large deviations Principles for independent and identically distributed random sequences. (C) 2001 Academie des sciences/Editions scientifiques et medicales Elsevier SAS.
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Mathieu Faure. Self-normalized large deviations for Markov chains. Comptes rendus de l'Académie des sciences. Série I, Mathématique, Elsevier, 2001, 333 (9), pp.885--890. ⟨10.1016/S0764-4442(01)01953-X⟩. ⟨hal-00693700⟩



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