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 . 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 .
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