Large Deviations for Processes with Independent Increments.

Abstract

The establishment of the large deviation principle (LDP) has had important implications in various areas in statistics. It has been used to obtain the asymptotic efficiencies of tests and estimates and to obtain the asymptotic behavior of functional integrals associated with solutions of stochastic integrals. It appears in the evaluation of the 'free' energy in statistical mechanics. It is also intimately related to certain types of laws of large numbers. This paper studies the LDP for a stochastic process with stationary independent increments with no Gaussian component and obtain complete results.

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Document Details

Document Type
Technical Report
Publication Date
Oct 01, 1984
Accession Number
ADA147293

Entities

People

  • J. Lynch
  • Jayaram Sethuraman

Organizations

  • Florida State University

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Convergence
  • Decision Theory
  • Differential Equations
  • Distribution Functions
  • Integrals
  • Mechanics
  • Military Research
  • Probability
  • Probability Distributions
  • Random Variables
  • Sequences
  • Stationary
  • Statistical Decision Theory
  • Statistical Mechanics
  • Statistics
  • Stochastic Processes
  • Theorems

Fields of Study

  • Mathematics

Readers

  • Statistical inference.
  • Theoretical Analysis.