Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1156838 | Stochastic Processes and their Applications | 2011 | 30 Pages |
Abstract
In this paper, we prove the large deviation principle (LDP) for the occupation measures of not necessarily irreducible random dynamical systems driven by Markov processes. The LDP for not necessarily irreducible dynamical systems driven by i.i.d. sequence is derived. As a further application we establish the LDP for extended hidden Markov models, filling a gap in the literature, and obtain large deviation estimations for the log-likelihood process and maximum likelihood estimator of hidden Markov models.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Shulan Hu, Liming Wu,