Sanov meets Cramér again

B. Gerritse

Statistica Neerlandica, 1996, vol. 50, issue 2, 281-294

Abstract: We introduce a new method for proving large‐deviation principles (LDPs). This method amounts to “mixing” a collection of LDPs with a sequence of probability measures that obeys itself an LDP. As an illustration, we construct from empirical measures a sequence of capacity‐valued maps that can be considered as an indexed collection of LDPs. The index 1 coincides with Sanov's theorem. By taking a Poisson mixture we establish a new connection with Cramér's theorem.

Date: 1996
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