Large deviations for weighted empirical mean with outliers
Probability
2016-08-16 v2
Abstract
We study in this article large deviations for the empirical mean of iid random vectors with some deterministic weights, whose empirical measure weakly converges to some compactly support probability distribution. The scope of this paper is to study the effect on the LDP of outliers, that is sequences of weights that remain far from the support of the limiting measure.
Cite
@article{arxiv.math/0605491,
title = {Large deviations for weighted empirical mean with outliers},
author = {Mylène Maïda and Jamal Najim and Sandrine Péché},
journal= {arXiv preprint arXiv:math/0605491},
year = {2016}
}
Comments
31 pages, 4 pictures; accepted for publication in Stochastic Processes and their Applications. Replaced version : proof of Lemma 2.4 now in Appendix A, minor typos and 2 figures corrected