Exponential tightness can fail in the strong topology

Peter Eichelsbacher and Malte Grunwald

Statistics & Probability Letters, 1999, vol. 41, issue 1, 83-86

Abstract: In this note we point out that a large deviations principle (LDP) does not imply exponential tightness in general. We prove for the classical Sanov result that exponential tightness holds in the strong topology if and only if the underlying measure is purely atomic.

Keywords: Exponential; tightness; Strong; topology; Large; deviations (search for similar items in EconPapers)
Date: 1999
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