The Annals of Probability

Stochastic Sub-Additivity Approach to the Conditional Large Deviation Principle

Zhiyi Chi

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Abstract

Given two Polish spaces $A_X$ and $A_Y$, let $\rho : A_X \times A_Y \to \mathbb{R}^d$ be a bounded measurable function. Let $X = {X_n : n \geq 1}$ and $Y = {Y_n : n \geq 1}$ be two independent stationary processes on $A_X^{\infty}$ and $A_Y^{\infty}$, respectively. The article studies the large deviation principle (LDP) for $n^{-1} \sum_{k=1}^n \rho(X_k, Y_k)$, conditional on $X$. Based on a stochastic version of approximate subadditivity, it is shown that if Y satisfies certain mixing condition, then for almost all random realization $x$ of $X$, the laws of $n^{-1} \sum_{k=1}^n \rho(x_k, Y_k)$ satisfy the conditional LDP with a non-random convex rate funcion. Conditions for the rate function to be non-trivial (that is, not $0/\infty$ function) are also given.

Article information

Source
Ann. Probab., Volume 29, Number 3 (2001), 1303-1328.

Dates
First available in Project Euclid: 5 March 2002

Permanent link to this document
https://projecteuclid.org/euclid.aop/1015345604

Digital Object Identifier
doi:10.1214/aop/1015345604

Mathematical Reviews number (MathSciNet)
MR1872744

Zentralblatt MATH identifier
1018.60026

Subjects
Primary: 60F10: Large deviations
Secondary: 94A34: Rate-distortion theory

Keywords
Conditional large deviation principle stochastic approximate subadditivity mixing conditions

Citation

Chi, Zhiyi. Stochastic Sub-Additivity Approach to the Conditional Large Deviation Principle. Ann. Probab. 29 (2001), no. 3, 1303--1328. doi:10.1214/aop/1015345604. https://projecteuclid.org/euclid.aop/1015345604


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