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 |