Large deviations in Banach spaces of continuous functions and their applications (Q1594437)
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English | Large deviations in Banach spaces of continuous functions and their applications |
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Large deviations in Banach spaces of continuous functions and their applications (English)
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28 January 2001
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This paper examines the large deviation principle for independent and identically distributed copies of (not necessarily smooth) random fields, \(\tau_i\). Working with the Dudley metric, the author establishes deviations for \(u\in(0,\varepsilon_n n^{1/6})\) for a sequence \(\varepsilon_n\) decreasing to 0 such that \(\varepsilon_n n^{1/6}\) increases to infinity. The main theorem states that as \(n\rightarrow\infty\) \[ \lim\frac{P[\sup_{t\in T}|\sum_1^n \tau_i(t)/ \sqrt{n}|>u]} {P[\sup_{t\in T}|G(t)|>u]} =1, \] for \(G\) a suitable Gaussian field. Only an outline of the proof is provided. The author indicates how this result can be used to handle the error in a Monte Carlo approach to numeric integration.
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large deviation principle
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Dudley metric
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random fields
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numeric integration
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