The Entropy Method in Large Deviation Theory
Probability
2022-11-04 v2 Information Theory
math.IT
Abstract
This paper illustrates the power of the entropy method in addressing problems from large deviation theory. We provide and review entropy proofs for most fundamental results in large deviation theory, including Cramer's theorem, the G\"artner--Ellis theorem, and Sanov's theorem. Moreover, by the entropy method, we also strengthen Sanov's theorem to the strong version.
Cite
@article{arxiv.2210.13121,
title = {The Entropy Method in Large Deviation Theory},
author = {Lei Yu},
journal= {arXiv preprint arXiv:2210.13121},
year = {2022}
}
Comments
32 pages. For this version, more results and references are added