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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...
Delta method in large deviations and moderate deviations for estimators
Delta method hypothesis testing Kaplan–Meier estimator large deviations L-statistics M-estimator moderate deviations
2011/6/20
The delta method is a popular and elementary tool for deriving
limiting distributions of transformed statistics, while applications of
asymptotic distributions do not allow one to obtain desirable a...
Large deviations for stochastic flows of diffeomorphisms
deformable templates diffeomorphisms image matching infinite-dimensionalBrownian motion infinite-dimensional SDEs
2010/3/10
A large deviation principle is established for a general class of stochastic flows in the small
noise limit. This result is then applied to a Bayesian formulation of an image matching problem,
and a...
Large deviations of invariant measures for degenerate diffusions
Large deviations invariant measures degenerate diffusions
2009/9/23
Large deviations of invariant measures for degenerate diffusions。
We discuss a method, which we call the expansion
method, for proving large deviation principles and bounds. The method
is applicable on general topological spaces but our main application
is to pro...
Large deviations and law of the iterated logarithm for generalized domains of attraction
Large deviations law of the iterated logarithm generalized domains of attraction
2009/9/22
Suppose X, XI, X,, ... are i.i.d. random vectors,
S, = z:= Xi and A, are linear operators such that A, S, converges in
law to some full random vector I: Then we say that X belongs to the
shkt gener...
We prove a large deviations principle (LDP) for partial
sums U-processes indexed by the half line. The LDP can be formulated
on a suitable subset of the set of all absolutely continuous paths. We
e...
Multivariate large deviations with stable limit laws
sums of LLd. random vectors local limit theorem regular variation maximal summand
2009/9/22
The large deviation problem for sums of i.i.d. random
vectors is considered. It is assumed that the underlying distribution is
absolutely continuous and its density is of regular variation. An asymp...
Multivariate large deviations for sums of i.i.d. random vectors with compactly supported distribution
Abel theorem Cramkr transfonnatiou Fenchel-Legendre transformation Laplace method
2009/9/21
The sums of i.i.d. random vectors with compactly supported
and absolutely continuous distribution are considered. Under
some conditions the strong form of the local limit theorem for large
deviatio...
Let X(±) be a Wishart process of dimension ±, with values
in the set of positive matrices of size m. We are interested in the large deviations
for a family of matrix-valued processes {±−1X(±)
...