The metric of large deviation convergence

DOI10.1023/A:1007814729591MaRDI QIDQ1592276zbMATH OpenOpenAlexFDO

Authors Tiefeng Jinag, George L. O'Brien

Publication date 30 August 2001

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1007814729591

zbMATH Keywords

good rate functionlarge deviation principlemetric spaces

Mathematics Subject Classification ID

Large deviations (60F10)

Review text

A metric space of set functions, such that a sequence \(\{P_n\}\) of Borel probability measures on this metric space satisfies the full large deviation principle (LDP) with speed \(\{a_n\}\) and good rate function \(I\) if and only if the sequence \(\{p_n^{a_n}\}\) converges to set function \(e^{-I}\), is constructed. Properties related to the LDP and weak convergence are characterized in terms of a metric space.

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