Variational form of the large deviation functional

Henri Comman

Statistics & Probability Letters, 2007, vol. 77, issue 9, 931-936

Abstract: Under exponential tightness hypothesis, we show that the large deviation functional has the same variational form as when large deviations hold. As an application, we identify the affine regularization of a rate function on any real Hausdorff topological vector space in terms of . Some classical results involving the generalized log-moment generating function are improved.

Keywords: Large; deviations; Generalized; log-moment; generating; function (search for similar items in EconPapers)
Date: 2007
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