Cramer's condition and Sanov's theorem

Alexander Schied

Statistics & Probability Letters, 1998, vol. 39, issue 1, 55-60

Abstract: We discuss whether Sanov's theorem can be extended to a topology that renders the mapping v --> |-> f dv continuous, for a given measurable function f. We show that this is possible if and only if f possesses all exponential moments with respect to the underlying law [mu]. AMS classification: 60F10

Keywords: Sanov's; theorem; Cramer; condition; Cramers; theorem; Exponential; moments (search for similar items in EconPapers)
Date: 1998
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