Abstract
This article proves that the on-off renewal process with Weibull sojourn times satisfies the large deviation principle on a nonlinear scale. Unusually, its rate function is not convex. Apart from on a compact set, the rate function is infinite, which enables us to construct natural processes that satisfy the large deviation principle with nontrivial rate functions on more than one time scale.
Original language | English |
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Pages (from-to) | 107-117 |
Journal | Journal of Applied Probability |
Volume | 45 |
Issue number | 1 |
DOIs | |
Publication status | Published - 2008 |