A large-deviation principle for non-parametric estimators of Loynes' exponent

Let X(1),,X(n)X(1),\ldots,X(n) be a sequence of consecutive increments, or alternatively let W(1),,W(n)W(1),\ldots,W(n) be observed workloads, and let θ\theta^* denote Loynes' exponent. Consider estimates {θ(n)}\{\theta^*(n)\} constructed without further knowledge of the process {X(n)}\{X(n)\}. Large-deviation estimation conjecture. In broad generality, under conditions similar to those in Theorem, one can construct estimates {θ(n)}\{\theta^*(n)\} satisfying a large deviation principle: for every Borel set BB, there is a good rate function J:[0,][0,]J:[0,\infty]\mapsto[0,\infty] such that

infxBJ(x)lim infn1nlogP(θ(n)B)lim supn1nlogP(θ(n)B)infxBJ(x).-\inf_{x\in B^\circ}J(x)\leq \liminf_{n\to\infty}\frac{1}{n}\log P(\theta^*(n)\in B)\leq \limsup_{n\to\infty}\frac{1}{n}\log P(\theta^*(n)\in B)\leq -\inf_{x\in \overline{B}}J(x).

Here BB^\circ and B\overline{B} are respectively the interior and closure of BB, and JJ is lower semicontinuous with compact level sets. Moreover, the estimates can be chosen consistently, meaning that J(x)=0J(x)=0 if and only if x=θx=\theta^*. This conjecture concerns the statistical limits of estimating the exponential tail exponent of Loynes' distribution from observed increments or workloads; the source does not establish the conjecture or provide evidence of its resolution.

Sources & referencesView supporting material

Primary source

Ken R. Duffy and Sean P. Meyn, “Estimating Loynes' exponent”, arXiv:0910.5431 (2009).

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