A probability inequality for obtaining lower bounds in the large deviation principle

DOI10.1007/BF02104669MaRDI QIDQ1358024zbMATH OpenOpenAlexFDO

Authors Anatoli Mogulskii

Publication date 10 November 1997

Published in Siberian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02104669

zbMATH Keywords

Cramér transformlarge deviation principleLegendre transform

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Large deviations (60F10)

Review text

The universal tool for obtaining the upper bounds in the large deviation principle is the Chebyshev inequality. The aim of the article is to obtain a probability inequality which might estimate the probabilities \({\mathbf P}(\xi\in A)\) from below in cases when the latter are small, and which could be used for proving lower bounds in the large deviation principle. Such an inequality is proved, and the lower bound is expressed in terms of the deviation function and probabilities \({\mathbf P}(\xi^\lambda\in A)\), where \(\xi^\lambda\) is a random variable conjugate to \(\xi\) (via Cramér transform).

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Cites work

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Cited in

(5)

• A lower bound of large-deviation probabilities for the sample mean under the Cramer condition
• On large deviation theorem for data-driven Neyman's statistic
• The stochastic lower bound
• scientific article; zbMATH DE number 3973956 (Why is no real title available?)
• On Lower Bounds for Probabilities of Large Deviations

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