How to estimate a cumulative process’s rate-function

Abstract

Consider two sequences of bounded random variables, a value and a timing process, that satisfy the large deviation principle (LDP) with rate-function J(·,·) and whose cumulative process satisfies the LDP with rate-function I(·). Under mixing conditions, an LDP for estimates of I constructed by transforming an estimate of J is proved. For the case of cumulative renewal processes it is demonstrated that this approach is favorable to a more direct method as it ensures the laws of the estimates converge weakly to a Dirac measure at I