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The Large Deviation Principle for the on-off Weibull Sojourn Process

Ken R. Duffy and Artem Sapozhnikov
Journal of Applied Probability
Vol. 45, No. 1 (Mar., 2008), pp. 107-117
Stable URL: http://www.jstor.org/stable/27595927
Page Count: 11
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
The Large Deviation Principle for the on-off Weibull Sojourn Process
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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.

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