English

A variational formula on the Cram\'er function of series of independent random variables

Probability 2017-02-27 v2

Abstract

In [11] it has been proved some variational formula on the Legendre-Fenchel transform of the cumulant generating function (the Cram\'er function) of Rademacher series with coefficients in the space 1\ell^1. In this paper we show a generalization of this formula to series of a larger class of any independent random variables with coefficients that belong to the space 2\ell^2.

Keywords

Cite

@article{arxiv.1502.06487,
  title  = {A variational formula on the Cram\'er function of series of independent random variables},
  author = {Krzysztof Zajkowski},
  journal= {arXiv preprint arXiv:1502.06487},
  year   = {2017}
}

Comments

10 pages