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 |
|---|---|
| Pages (from-to) | 107-117 |
| Journal | Journal of Applied Probability |
| Volume | 45 |
| Issue number | 1 |
| DOIs | |
| Publication status | Published - 2008 |
Fingerprint Dive into the research topics of 'The large deviation principle for the on-off Weibull sojourn process'. Together they form a unique fingerprint.
Cite this
Duffy, K. R., & Sapozhnikov, A. (2008). The large deviation principle for the on-off Weibull sojourn process. Journal of Applied Probability, 45(1), 107-117. https://doi.org/10.1239/jap/1208358955