14:15
Let {X_n} be a sequence of bounded, real-valued random variables.
Assume that the partial-sums processes {S_n}, where S_n=X_1+...+X_n,
satisfies the large deviation principle with a convex rate-function, I().
Given an observation of the process {X_n}, how would you estimate I()? This
talk will introduce an estimator that was proposed to tackle a problem in
telecommunications and discuss it's properties. In particular, recent
results regarding the large deviations of estimating I() will be presented.
The significance of these results for the problem which originally motivated
the estimator, estimating the tails of queue-length distributions, will be
demonstrated. Open problems will be mentioned and a tenuous link to Oxford's
Mathematical Institute revealed.