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On large deviations in testing simple hypotheses for locally stationary Gaussian processes
Hypothesis testing Likelihood ratio Large deviations Locally stationary Gaussian processes Hoeffding bound Stein’s lemma Chernoff bound
2015/8/25
We derive a large deviation result for the log-likelihood ratio for testing simple hypotheses in locally stationary Gaussian processes. This result allows us to find explicitly the rates of exponentia...
Numerical Computation of Large Deviations Exponents via Simulation
Large deviations simulation regeneration eigenvalue problem,distribution arkov chains
2015/7/8
Consider the problem of numerically computing the exponential rate at which the tail of the hitting time of a Markov chain to a given set decreases to zero. One approach involves computing the solutio...
A Large Deviations Perspective on Ordinal Optimization
Large Deviations Perspective Ordinal Optimization
2015/7/6
We consider the problem of optimal allocation of computing budget to maximize the probability of correct selection in the ordinal optimization setting. This problem has been studied in the literature ...
A Large Deviations View of Asymptotic Efficiency for Simulation Estimators
Large Deviations View Asymptotic Efficiency Simulation Estimators
2015/7/6
Consider a simulation estimator α(c) based on expending c units of computer time, to estimate a quantity α. One measure of efficiency is to attempt to minimize P(|α(c)−α|>ε) for large c. This he...
Large Deviations for the Empirical Mean of an M/M/1 Queue
Large Deviations Empirical Mean M/M/1 Queue
2015/7/6
The theory of large deviations for random walks is important both in its own right and as a starting point for establishing large deviations for more complex models (such as ìsmall noiseîdi§usion...
Central Limit Theorems and Large Deviations for Additive Functionals of Reflecting Diffusion Processes
Central Limit Theorems Large Deviations Additive Functionals Reflecting Diffusion Processes
2015/7/6
This paper develops central limit theorems (CLT's) and large deviations results for additive functionals associated with reflecting disions in which the functional may include a term associated with t...
Large deviations in quantum lattice systems: One-phase region
Gibbs - KMS quantum spin systems Fermi gases
2014/12/29
We give large deviation upper bounds, and discuss lower bounds, for the Gibbs-KMS state of a system of quantum spins or an interacting Fermi gas on the lattice. We cover general interactions and gener...
Precise large deviations for dependent regularly varying sequences
stationary sequence large deviation principle regular variation Markov processes stochastic volatility model GARCH
2012/6/27
We study a precise large deviation principle for a stationary regularly varying sequence of random variables. This principle extends the classical results of A.V. Nagaev (1969) and S.V. Nagaev (1979) ...
Nonconventional Large Deviations Theorems
large deviations Markov processes nonconventional averages hyperbolic diffeomorphisms
2012/6/12
We obtain large deviations theorems for nonconventional sums with underlying process being a Markov process satisfying the Doeblin condition or a dynamical system such as subshift of finite type or hy...
Large deviations for a mean field model of systemic risk
mean field large deviations systemic risk dynamic phase transitions
2012/4/28
We consider a system of diffusion processes that interact through their empirical mean and have a stabilizing force acting on each of them, corresponding to a bistable potential. There are three param...
A Gamma-convergence approach to large deviations
Gamma-convergence large deviations Probability
2012/4/18
A rigorous connection between large deviations theory and Gamma-convergence is established. Applications include representations formulas for rate functions, a contraction principle for measurable map...
Local limit theorem for large deviations and statistical box-tests
random allocations large deviations box-test power
2011/7/25
Let $n$ particles be independently allocated into $N$ boxes, where the $l$-th box appears with the probability $a_l$.
Large deviations for cluster size distributions in a continuous classical many-body system
Classical particle system canonical ensemble equilibrium statistical mechanics dilute system large deviations
2011/9/14
Abstract: An interesting problem in statistical physics is the condensation of classical particles in droplets or clusters when the pair-interaction is given by a stable Lennard-Jones-type potential. ...
Large deviations for truncated heavy-tailed random variables: a boundary case
heavy tails truncation regular variation large deviation
2011/9/6
Abstract: This paper investigates the decay rate of the probability that the row sum of a triangular array of truncated heavy tailed random variables is larger than an integer (k) times the truncating...
Effect of truncation on large deviations for heavy-tailed random vectors
heavy tails truncation regular variation large deviation
2011/9/5
Abstract: This paper studies the effect of truncation on the large deviations behavior of the partial sum of a triangular array coming from a truncated power law model. Each row of the triangular arra...